Is CTA trend following Dead?

March 10, 2013

(This article was first published on Intelligent Trading, and kindly contributed to R-bloggers)


This is just a very short comment related to discussions I’ve been having with a friend about trend following funds and a lot of the recent blogs and debates proclaiming the death of trend following.

                                                 Fig. 1 Barclay CTA Index

Using the Barclay CTA Index as a proxy, we can certainly see that there was a huge level shift of performance from around the 1990s and onwards, making the annual return appear to be on an almost exponential decay. However from about 1990 to present, the annual returns have have been steadily oscillating in a range band from around -1% to 13% (with some outliers), and although the average return per decade has been dropping over the last few decades, there’s not really enough data to make any strong judgements about it’s demise. Just looking at the oscillatory behavior and considering the bearishness towards this class of funds– It might just suggest a good reversion based long bet on trend-followers.

To leave a comment for the author, please follow the link and comment on their blog: Intelligent Trading. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.


Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)