Two centuries of trend following
| Autor: | Cyril Deremble, Marc Potters, Philip Seager, Jean-Philippe Bouchaud, Yves Lemperiere |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
Statistical Finance (q-fin.ST)
Strategy and Management Bond Financial market Quantitative Finance - Statistical Finance Asset allocation Stock market index Trend following FOS: Economics and business Portfolio Management (q-fin.PM) Econometrics Economics Quantitative Finance - General Finance Excess return General Finance (q-fin.GN) General Economics Econometrics and Finance Futures contract Quantitative Finance - Portfolio Management Sign (mathematics) |
| DOI: | 10.48550/arxiv.1404.3274 |
| Popis: | We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is $\approx 5$ since 1960 and $\approx 10$ since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered. Comment: 17 pages, 9 figures, 9 tables |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|