Trend following died 20 years ago (plus a bonus question)
Daily update: August 31, 2023
Good evening my esteemed friends.
The highly respected Societe Generale Trend Indicator captures the performance of all fund managers who pursue trend following methods (i.e. all systematic investors/traders in the trend following, CTA, managed futures space)
As of the 31st of August, 2023 the performance of the trend followers has been woeful (to put it mildly)
YTD, they have underperformed the S&P 500 by a massive 28% in the space of just 8 months.
Long-term returns: 1.74% p.a. (LOL - Bull Market Bypass - can't even beat CPI)
My esteemed friends, it is well known among the expert community that trend following (and momentum strategies) stopped working in the early 2000's (as the annualised return at the bottom of the slide below amply demonstrates).
My bonus question for the day is: Give me two reasons why trend following (and momentum) died in 2002.
11/09 Indices, page-174
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