Journal of Investment Strategies

Two centuries of trend following

Yves Lempérière, Cyril Deremble, Philip Seager, Marc Potters and Jean-Philippe Bouchaud


They use for their studies both futures time series that have existed since 1960 and spot time series that allow us to go back to 1800 on commodities and indexes. The overall t-statistic of the excess returns is approximately equal to five since 1960 and approximately equal to ten since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, across both 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, the authors 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, they study the performance of trend following in the recent period. They find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here