The true benefit of trend following is only realized when investors take advantage of the extreme liquidity and diversity of global futures markets to trade a wide range of markets across all major asset categories. Our analysis shows that an investor would have achieved more than double the risk-adjusted performance of a median equity trend strategy by trading a diversified strategy across many diverse markets.
Last week we were jazzed to have Dr. Kathryn Kaminski deliver a comprehensive presentation on Managed Futures Trend Following: The Ultimate Diversifier, where she covered the role of convergent and divergent strategies, and introduced other important themes like:
The article below illustrates how capital efficiency, taxes, and fees impact portfolio choices given what we feel to be reasonable assumptions. However, we recognize that you may have different views on these variables.