We consider if trend-following performance is dependent on trading speed.
We find evidence that hypothetical performance data can be significantly over-optimistic compared to subsequent realised performance.
Analysis of the correlation structure between futures markets, S&P 500 stocks and trend-following strategies over the past 50 years.
The long-term correlation of trend following with equities is effectively zero. But there are many misconceptions regarding what this means.
Roll yield, a source of profits for trend followers, is the return captured when a futures contract converges to the spot price.
