There have been a number of articles written in the last year about trend following, current lack thereof, and how this affects CTA performance and future prospects. The team at Altegris and respected industry vet Matt Osborne has written a great paper that covers the state of a number of key metrics including:
- the long term risk /return profile is strong
- the Rho Trend barometer and its current state
- Volatility compression/expansion
- Risk 0n / Risk off environments
- Interest Rate environments
- Industry growth
I think they have nailed some key issues and brought up some we hadn’t thought of. The result: while they do not have a crystal ball any more than anyone else, it appears there are a number of the issues that are starting to line up that point to a much improved environment for trend following and the CTA space. Moreover, actual results are beginning to show up with many strategies beginning to find trends again and perhaps just at the right time….when its needed most. Here is the article: ALTWPTrendYourFriendFINAL052813v3