Recent performance challenges for trend followers have prompted several key questions about the causes and whether the strategy can deliver on its long-term expectations. In this brief note, we address these concerns by putting performance into historical perspective, providing insights around commonly cited causes of recent challenges, and showing that the main reason for poor performance is a recent lack of opportunities. Most importantly, we reaffirm the long-term merits of the strategy as an important component of a broader asset allocation.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees. This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.