Trend-Following

Portfolio Management
December 2025

Hold the Dip

AQR

Research

22 Pages

AQR examines whether the popular buy the dip mantra actually beats a simple buy and hold approach over many decades.

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Alternative Assets
December 2025

Stop the Losses!

Research Affiliates

Jim Masturzo, Jay Jeon

Research

15 Pages

Research Affiliates examines how systematic strategies can suffer large drawdowns and shows how stop loss rules can improve risk profiles while preserving process discipline.

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Alternative Assets
November 2025

Eastern Frontier: Unlocking Diversification in China

Man Group

Yash Panjabi, Giuliana Bordigoni

Research

13 Pages

Man Group says improving access to more of China's uncorrelated markets offers diversification opportunities to global investors as market dispersion increases.

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Alternative Assets
September 2025

A Trend Following Deep Dive: The Dynamics of Dispersion

Man Group

Research

13 Pages

Man AHL investigates why performance dispersion among trend-following CTAs remains wide despite similar strategies.

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Alternative Assets
August 2025

High-Vol Trend Following – The Most Valuable Alternative Investment?

DUNN Capital Management

Research

13 Pages

DUNN Capital argues that true “alternative” strategies should diversify by timing—delivering negative correlation, positive skew, and convexity when equities sell off.

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Alternative Assets
July 2025

Living with Trend Following: Lessons From the Past 25 Years

Aspect Capital

Research

14 Pages

Aspect Capital examines how systematic trend-following strategies have navigated four major macroeconomic periods—from the DotCom bubble to the post-pandemic inflation surge.

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Alternative Assets
June 2025

Trend Following and Drawdowns: Is This Time Different?

Man Group

Russell Korgaonkar

Research

43 Pages

While trend following has had a tough start to 2025, Man Group explains why historically, those who have stayed the course have benefitted.

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Alternative Assets
June 2025

Truth or Trend: Separating Signal from Noise

Man Group

Research

17 Pages

Man Group explores how trend-following strategies—diversified across many asset classes—capture unpredictable market moves and provide “crisis alpha” through disciplined, multi-market positioning.

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Alternative Assets
June 2025

Market Cycles and Managed Futures Drawdowns

Alpha Simplex

Kathryn Kaminski

Research

8 Pages

Kathryn Kaminski analyzes prior Managed Futures drawdown and recovery periods and shares common themes.

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Alternative Assets
May 2025

Walking the Tightrope: Trend Following’s Tricky Tradeoffs

Research Affiliates

Jim Masturzo

Research

20 Pages

Research Affiliates demonstrates how trend-following can be a tightrope act: dialing up the strategy’s prized positive skew for crash-era payoffs invariably chips away at its Sharpe ratio, so allocators must decide how much smooth return they are willing to sacrifice for tail-risk insurance.

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Trend-Following
May 2025

The Patience Premium

Virtus Funds

Research

4 Pages

While managed futures strategies are in the midst of a historically challenging period of performance, the strategy historically performed well in the time periods following drawdowns.

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Alternative Assets
April 2025

Trade War Crisis or Correction: Managed Futures and Crisis Alpha in 2025

Alpha Simplex

Kathryn Kaminski

Research

7 Pages

Kathryn Kaminski analyzes past drawdowns in the S&P 500 and highlights that trend following tends to struggle at the onset of new trends and it tends to thrive in their extension.

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Alternative Assets
April 2025

Why Patience Matters During Market Stress

Man Group

Tarek Abou Zeid, Harry Moore, Yash Panjabi

Research

6 Pages

Man Group examines the performance of trend-following strategies during periods of market stress, emphasizing the importance of patience.

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Trend-Following
April 2025

Trend Following Through Turmoil: Why the Best Protection Comes After the First Punch

Newfound Research

Corey Hoffstein

Research

6 Pages

Corey Hoffstein explores how trend following strategies behave during equity market drawdowns.

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Alternative Assets
January 2025

Does Trend Following Still Work on Stocks

Longboard Asset Management

Cole Wilcox, Alberto Pagani, Carlo Zarattini

Research

19 Pages

The paper revisits the efficacy of trend-following strategies on U.S. stocks, extending their analysis from 1950 through November 2024.

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Trend-Following
November 2024

Trend-Following and Long-Short Quality: Loading the Dice

Man Group

Rupert Goodall

Research

7 Pages

Man Group examines the limitations of relying solely on trend-following strategies during sudden market volatility and proposes integrating long-short quality strategies to enhance portfolio resilience against sudden market volatility.

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Alternative Assets
October 2024

The Additional Benefits of Trend-Following when Interest Rates are High

Quantica Capital

Research

13 Pages

Quantica Capital examines how elevated cash rates change the role of trend-following strategies in traditional portfolios.

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Trend-Following
October 2024

Just Buy The Index

Transtrend

Research

8 pages Pages

Transtrend examines the complexities of replicating Commodity Trading Advisor (CTA) index returns through exchange-traded funds (ETFs), highlighting the challenges and potential pitfalls of such strategies.

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Portfolio Management
July 2024

The Yieldy Put: To Infinity and Beyond Bonds

Man Group

Yash Panjabi, Graham Robertson

Research

8 Pages

Man suggests that liquid alternative strategies, specifically trend-following and long/short quality stocks, could be viewed as the new bonds, providing both diversification and defensiveness.

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Alternative Assets
June 2024

A Century of Profitable Industry Trends

Optimal Momentum

Gary Antonacci, Carlo Zarattini

Research

34 Pages

This evaluates the profitability of an industry-based long-only trend-following portfolio, utilizing 48 industry portfolios from 1926 to 2024.

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Trend-Following
June 2024

The History of Managed Futures

RCM Alternatives

Research

16 Pages

RCM Alternatives delves into the evolution of managed futures, tracing their origins from the 1800s to their current prominence among major investment strategies.

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Alternative Assets
May 2024

The Managed Futures Ecosystem: The Rise of the Managed Futures ETF

Alpha Simplex

Kathryn Kaminski, Scott Sample

Research

12 Pages

Kathryn Kaminski walks through the history of publicly traded managed futures funds to date, the important characteristics to think about when allocating to the space, and the recent growth of publicly available products via ETFs.

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Alternative Assets
April 2024

Honey, I Shrunk the Trend-Following

Man Group

Graham Robertson

Research

8 Pages

This paper tries to answer the question, ‘how much trend following should I hold in my portfolio?’ while considering the real-world constraints of investor preferences, lookback window and tracking error.

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Portfolio Management
February 2024

Risk Parity with Trend Following

LongTail Alpha

Research

17 Pages

This paper evaluates how augmenting traditional risk-parity portfolios with trend-following strategies—especially those incorporating carry filters—can improve risk-adjusted performance.

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Alternative Assets
February 2024

Capturing Unpredictability

Aspect Capital

Research

11 Pages

Aspect Capital highlights the attributes of trend following (adaptability, agility and resilience) and suggests it may be better to think of trend following as “unpredictability alpha” instead of “crisis alpha.”

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Alternative Assets
November 2023

Blinded By Bias

Efficient Capital Management

Joel Handy, Lorent Meksi

Research

6 Pages

Efficient Capital examines how hindsight and survivorship biases distort manager selection in managed futures, leading investors to chase past winners and underestimate failure risks.

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Alternative Assets
January 2023

Cross-sectional Momentum in Cryptocurrency Markets

Starkiller Capital

Corey Hoffstein, Leigh Drogen, Kevin Otte

Research

14 Pages

Starkiller Capital explores whether short term cross-sectional momentum exists in crypto and how to trade it sensibly.

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Alternative Assets
December 2022

Should Your Portfolio Protection Work Fast or Slow? 

AQR

Research

16 Pages

AQR Capital Management compares protection that pays off quickly in crashes versus defenses built for long, grinding drawdowns.

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Alternative Assets
December 2022

Trend-Following: Why Now? A Macro Perspective

AQR

Research

17 Pages

AQR Capital Management explains why trend following may be well suited for a world where macro volatility is back.

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Alternative Assets
September 2022

The Raisons d’être of Managed Futures

AQR

Cliff Asness

Research

14 Pages

AQR explains why managed futures is intended to deliver two things: positive average returns and meaningful help in equity drawdowns.

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Alternative Assets
June 2022

LongTail Alpha

Research

12 Pages

LongTail Alpha examines how multi asset trend following strategies behave when interest rates rise.

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Alternative Assets
December 2020

A half-century of trend-following: How CTAs make money in different yield curve regimes

Quantica Capital

Research

11 Pages

Quantica Capital examines how diversified trend following CTAs have made money across different yield curve regimes over nearly fifty years.

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