Publications

More than 25 years of trend following

In 1987, Transtrend started as a research project, focused on identifying trading opportunities in commodity futures markets. This project ultimately resulted in a diversified trend following trading program (our Diversified Trend Program). The world we live in right now is not the same as the world we lived in around 1990. The developments since then have required many changes to our way of trading. But at the same time, they also offered many new opportunities. The track record of our Diversified Trend Program (DTP) is the footprint of our maneuvering through all these developments.
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Trend following in non-symmetric markets

In our July 2016 newsletter we wrote about the non-linear and non-symmetric behavior of markets. We illustrated how ignoring these market characteristics can result in the underestimation of portfolio risks. And how this market behavior, when it is taken into account, may actually create opportunities for a diversified trading strategy. The strong performance of our Diversified Trend Program around the Brexit referendum illustrates this well. The following text is an excerpt from that newsletter.
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VaR measures for dynamic long/short investment portfolios (January 2016)

In the past two decades, Value-at-Risk measures (VaRs) have become popular tools for risk analysis of, among others, investment products. In this paper we shed some light on some of the main weaknesses of standard VaR-measures when applied to an actively traded diversified long/short investment such as Transtrend's Diversified Trend Program. These weaknesses could become very relevant if one does not only use VaR-measures for evaluation purposes, but also as an investment management tool. Does a higher (historical) VaR imply a higher actual risk? Does a higher standard deviation imply a higher risk? Does a higher measured standard deviation imply a higher actual standard deviation? With a close look on these matters, none of these questions can be answered by a simple 'Yes'.

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A healthy return (January 2015)

In our January 2015 newsletter we shared our thoughts on the recent market environment, which turned favorable again for a diversified trend following approach in 2014. In addition, we discussed trend following in a rising interest rate environment and revisited the topic of ‘global slamming’, as certain types of this phenomenon continue to have their visible impact on markets. The following text is an excerpt from that newsletter. Read more.

 

CTA style analysis (July 2014)

In our July 2014 newsletter we commented on a CTA style analysis performed by Kathryn Kaminski and explained how her findings correspond with our views on the market environment of the past few years. The following text is an excerpt from that newsletter. Read more.

 

On Vettel and ballet (January 2014)

In our January 2014 newsletter we commented on the balancing act between style drift and innovation. The following text is an excerpt from that newsletter. Read more.


Trend following and hay heating (July 2013)

During the last few years, trend following strategies like Transtrend’s Diversified Trend Program (DTP) performed significantly worse than in the preceding years. In the July 2013 semi-annual newsletter to our clients, we provided some background and color on this. The following text is an excerpt from that newsletter. Read more.

 

Trend following: riding the kurtosis (January 2013)

In our January 2013 newsletter, we shed some light on the phenomenon of kurtosis. The following text is an excerpt from that newsletter. Read more.

 

Potential profitability for trend following systems

In January 2010 Transtrend introduced a backward looking measure, trendpot, which indicates whether a medium to long-term trend following system could potentially have been profitable during the preceding month. The purpose of this measure is to help explain and understand the performance (or the lack thereof) of Transtrend's Diversified Trend Program (DTP). The original research paper can be found here.