Abbey Capital examines why trend following struggled in the past decade and what could drive a turnaround. It argues weaker performance was less about strategy failure and more about an unusually calm macro backdrop with fewer sustained trends. A shift toward more volatility and macro dispersion could meaningfully improve outcomes.
The Market Environment For Trendfollowing
Abbey Capital
Research
29 Pages
Key Takeaways
Fewer Sustained Trends: The 2010–2019 period saw a decline in large price moves, with trend persistence falling versus prior decades, limiting opportunity across major futures markets.
Macro Suppression Effects: Extraordinary monetary policy kept volatility near multi-decade lows, with interest rates anchored close to 0% in developed markets for much of the post-crisis period.
Improving Forward Setup: Rising inflation dispersion and policy divergence since 2019 have increased cross-asset volatility, historically linked to stronger trend following returns across 30+ years of data.
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