Part 1: Trend, My Friend, Is This the End?

In Part 1 of 2, we explore the reduced performance of trend followers over the past decade but fail to find evidence that this is due to the commonly proffered reason of overcrowding of the strategy. Instead we find that the cause can be laid at the feet of the markets themselves – those markets commonly traded by trend followers have simply not trended as strongly in the past decade. In Part 2 we will turn our attention to the “trendiness” of a novel dataset of alternative commodity markets, selected based on a set of simple criteria. This will feature in a forthcoming edition of the GCARD.