{"id":232303,"date":"2025-05-09T07:46:10","date_gmt":"2025-05-09T07:46:10","guid":{"rendered":"https:\/\/peraltafinancing.com\/business\/investing\/how-much-trend-man\/"},"modified":"2025-05-09T07:46:10","modified_gmt":"2025-05-09T07:46:10","slug":"how-much-trend-man","status":"publish","type":"post","link":"https:\/\/fivemor.com\/?p=232303","title":{"rendered":"How much trend? &#8211; MAN"},"content":{"rendered":"<p> <br \/>\n<\/p>\n<div>\n<p>Today\u2019s post looks at a recent paper from MAN on how much trend following to include in your portfolio.<\/p>\n<h6><span id=\"Honey_I_Shrunk_the_Trend_Following\">Honey, I Shrunk the Trend Following<\/span><\/h6>\n<p>For reasons that I hope will become clear, the paper is called \u201cHoney, I Shrunk the Trend Following\u201d.<\/p>\n<ul>\n<li>The subtitle is clearer: \u201cHow much trend-following should investors hold in a portfolio?\u201d<\/li>\n<\/ul>\n<p>The paper was published in April 2024 and begins by listing trend\u2019s desirable properties:<\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">Comparable long-term returns to equities, zero long-term correlation to traditional assets, and historically-observed strong performance in crisis periods.\u00a0<\/span><\/p>\n<\/blockquote>\n<p>So how much trend do you need?<\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">The textbook answer would be the proportion that generates the optimal risk-adjusted reward, or Sharpe ratio.<\/span><\/p>\n<\/blockquote>\n<p>However, MAN feels that real-world constraints could shrink this allocation (hence the title).<\/p>\n<h6><span id=\"LOMA\">LOMA<\/span><\/h6>\n<p>As a baseline, MAN uses a typical long-only multi-<a class=\"glossaryLink\" aria-describedby=\"tt\" data-cmtooltip=\"&lt;div class=glossaryItemBody&gt;Anything that has a \u00a0monetary value (e.g. property, investments, cash).&lt;\/div&gt;\" href=\"https:\/\/the7circles.uk\/glossary\/asset\/\" data-gt-translate-attributes=\"[{\" attribute=\"\" tabindex=\"0\" role=\"link\">asset<\/a> (LOMA) allocation \u2013 a global 60\/40 stock-<a class=\"glossaryLink\" aria-describedby=\"tt\" data-cmtooltip=\"&lt;div class=glossaryItemBody&gt;Debt instrument issued by a government or company to raise money; pays regular interest with the original capital returned at maturity.&lt;\/div&gt;\" href=\"https:\/\/the7circles.uk\/glossary\/bond\/\" data-gt-translate-attributes=\"[{\" attribute=\"\" tabindex=\"0\" role=\"link\">bond<\/a> portfolio.<\/p>\n<ul>\n<li>This was a great portfolio until recently, with both assets rising in price and low correlations between them.<\/li>\n<\/ul>\n<p>But correlations have now turned positive, something that used to be quite common.<\/p>\n<p><a href=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles.png\" data-slb-active=\"1\" data-slb-asset=\"1451109134\" data-slb-internal=\"0\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43482\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles-300x213.png\" alt=\"Stock bond correlation (7 Circles)\" width=\"300\" height=\"213\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles-300x213.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles.png 1024w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\"\/><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43482\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles-300x213.png\" alt=\"Stock bond correlation (7 Circles)\" width=\"300\" height=\"213\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles-300x213.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Stock-bond-correlation-7-Circles.png 1024w\" data-sizes=\"(max-width: 300px) 100vw, 300px\"\/><\/a><\/p>\n<p>This only makes the argument for adding trend as further diversification more powerful.<\/p>\n<h6><span id=\"Optimal_Sharpe\">Optimal Sharpe<\/span><\/h6>\n<p><a href=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles.png\" data-slb-active=\"1\" data-slb-asset=\"252512321\" data-slb-internal=\"0\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43483\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles-300x212.png\" alt=\"Optimal Trend with Sharpe (7 Circles)\" width=\"300\" height=\"212\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles-300x212.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles.png 1024w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\"\/><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43483\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles-300x212.png\" alt=\"Optimal Trend with Sharpe (7 Circles)\" width=\"300\" height=\"212\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles-300x212.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Sharpe-7-Circles.png 1024w\" data-sizes=\"(max-width: 300px) 100vw, 300px\"\/><\/a><\/p>\n<p>The chart shows the optimal combination (that produces the max Sharpe) for a variety of lookback periods (to December 2023).<\/p>\n<ul>\n<li>Lookbacks shorter than three years become very noisy (and allocations to trend very high, given the outperformance post-2022).<\/li>\n<\/ul>\n<p>The optional allocation ranges from 20% to more than 60%, or 50% if you stick to periods longer than 10 years.<\/p>\n<ul>\n<li>MAN settles on 40% as the optimal allocation (over the longest time frame).<\/li>\n<\/ul>\n<p>This just about matches with previous studies I have seen, which produce targets between 10% and 40%.<\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">Trend-following has a relatively higher optimal weight in the early period of the sample given its outperformance, and on a relatively lower level of volatility, throughout the dot-com bubble burst and the Global Financial Crisis (GFC), periods where traditional assets struggled. However, following the GFC, trend-following entered what many regard as the \u2018CTA winter\u2019, where returns were broadly flat, which leads to a drop in optimal weight.\u00a0<\/span><\/p>\n<\/blockquote>\n<h6><span id=\"Drawdown\">Drawdown<\/span><\/h6>\n<p><a href=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles.png\" data-slb-active=\"1\" data-slb-asset=\"528930588\" data-slb-internal=\"0\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43484\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles-300x219.png\" alt=\"Optimal Trend with Max drawdown (7 Circles)\" width=\"300\" height=\"219\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles-300x219.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles.png 1024w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\"\/><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43484\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles-300x219.png\" alt=\"Optimal Trend with Max drawdown (7 Circles)\" width=\"300\" height=\"219\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles-300x219.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Optimal-Trend-with-Max-drawdown-7-Circles.png 1024w\" data-sizes=\"(max-width: 300px) 100vw, 300px\"\/><\/a><\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">Investors who are expressly interested in trend-following\u2019s defensiveness may consider drawdown to be the most pertinent measure of optimal.<\/span><\/p>\n<\/blockquote>\n<p>This bumps up the optimal allocation to 63%.<\/p>\n<h6><span id=\"Tracking_error\">Tracking error<\/span><\/h6>\n<p><a href=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles.png\" data-slb-active=\"1\" data-slb-asset=\"1661889066\" data-slb-internal=\"0\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43486\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles-300x197.png\" alt=\"Trend tracking error (7 Circles)\" width=\"300\" height=\"197\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles-300x197.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles.png 1024w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\"\/><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43486\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles-300x197.png\" alt=\"Trend tracking error (7 Circles)\" width=\"300\" height=\"197\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles-300x197.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Trend-tracking-error-7-Circles.png 1024w\" data-sizes=\"(max-width: 300px) 100vw, 300px\"\/><\/a><\/p>\n<p>Next, they look at the annualised tracking error for trend versus global equities.<\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">Trend-following\u2019s convexity means that this tracking error to 60\/40 is generally at its greatest when we need it most, in other words, when 60\/40 is at its worst. \u00a0The spikes in the tracking error curves are contemporaneous to drawdowns for 60\/40, while the curves taper towards their lows when 60\/40 rallies.<\/span><\/p>\n<\/blockquote>\n<p>The paper doesn\u2019t say this explicitly, but my take is that we needn\u2019t worry about tracking errors.<\/p>\n<h6><span id=\"Implementation\">Implementation<\/span><\/h6>\n<p><a href=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles.png\" data-slb-active=\"1\" data-slb-asset=\"1293650083\" data-slb-internal=\"0\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43487\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles-300x185.png\" alt=\"Cash efficient implementations (7 Circles)\" width=\"300\" height=\"185\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles-300x185.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles.png 1024w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\"\/><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43487\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles-300x185.png\" alt=\"Cash efficient implementations (7 Circles)\" width=\"300\" height=\"185\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles-300x185.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Cash-efficient-implementations-7-Circles.png 1024w\" data-sizes=\"(max-width: 300px) 100vw, 300px\"\/><\/a><\/p>\n<p>The next section looks at the ease of adding a trend allocation.<\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">The cash efficiency of instruments traded by trend-following strategies means that little additional cash is needed to fund an allocation. Allocating 90% of cash to the LOMA and 10% to trend-following, with the latter levered up by 4x, leads to roughly roughly 40% trend-following, 90% LOMA (or 30% trend-following and 70% LOMA in normalised allocation terms).<\/span><\/p>\n<\/blockquote>\n<p>An alternative implementation replicates 100% of the LOMA using futures (or swaps) and allocates 40% of the remaining cash to trend.<\/p>\n<p><a href=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles.png\" data-slb-active=\"1\" data-slb-asset=\"1597264047\" data-slb-internal=\"0\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43488\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles-300x248.png\" alt=\"\" width=\"300\" height=\"248\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles-300x248.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles.png 928w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\"\/><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-medium wp-image-43488\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles-300x248.png\" alt=\"\" width=\"300\" height=\"248\" srcset=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles-300x248.png 300w, https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/05\/Account-curves-7-Circles.png 928w\" data-sizes=\"(max-width: 300px) 100vw, 300px\"\/><\/a><\/p>\n<blockquote>\n<p><span style=\"color: #0000ff;\">Solution 2, with the same amount of 60\/40 as our original 60\/40 portfolio, enhances the return of 60\/40 by 2.3% per annum on similar volatility and drawdown.<\/span><\/p>\n<\/blockquote>\n<h6><span id=\"Conclusions\">Conclusions<\/span><\/h6>\n<p>This is a short and easy-to-read paper that provides ammunition for allocations to trend of between 20% and 63%.<\/p>\n<ul>\n<li>I\u2019ve never met a UK-based private investor with even a 20% allocation to trend, and given the difficulty of accessing ready-made trend <a class=\"glossaryLink\" aria-describedby=\"tt\" data-cmtooltip=\"&lt;div class=glossaryItemBody&gt;A security that tracks an index, a commodity or a basket of assets like an index fund, but trades like a stock on an exchange. ETFs vary in price through the day as they are bought and sold.&lt;\/div&gt;\" href=\"https:\/\/the7circles.uk\/glossary\/etf\/\" data-gt-translate-attributes=\"[{\" attribute=\"\" tabindex=\"0\" role=\"link\">ETFs<\/a> here in the UK, I don\u2019t expect that to change soon.<\/li>\n<\/ul>\n<p>DIY trend is time-consuming to implement, so my own approach is to lump TAA strategies (which are simpler to execute) into the same bucket.<\/p>\n<ul>\n<li>At the time of writing my Trend\/TAA allocation is 7.6%, and I should hit 11% or 12% by the end of 2024.<\/li>\n<\/ul>\n<p>I can see a 15% or 20% allocation in my future, but probably not 63%.<\/p>\n<div id=\"author-bio-box\" style=\"background: #f8f8f8; border-top: 2px solid #cccccc; border-bottom: 2px solid #cccccc; color: #4609ff\">\n<h3><a style=\"color: #555555;\" href=\"https:\/\/the7circles.uk\/author\/mikerawson\/\" title=\"All posts by Mike Rawson\" rel=\"author\">Mike Rawson<\/a><\/h3>\n<div class=\"bio-gravatar\"><img loading=\"lazy\" decoding=\"async\" data-del=\"avatar\" src=\"https:\/\/the7circles.uk\/wp-content\/uploads\/2024\/03\/Author-pic-fix-150x150.jpg\" class=\"avatar pp-user-avatar avatar-100 photo \" height=\"100\" width=\"100\"\/><\/div>\n<p><a target=\"_blank\" rel=\"nofollow noopener noreferrer\" href=\"https:\/\/the7circles.uk\/\" class=\"bio-icon bio-icon-website\"\/><a target=\"_blank\" rel=\"nofollow noopener noreferrer\" href=\"https:\/\/www.facebook.com\/7-Circles-425914570895193\/\" class=\"bio-icon bio-icon-facebook\"\/><a target=\"_blank\" rel=\"nofollow noopener noreferrer\" href=\"https:\/\/the7circles.uk\" class=\"bio-icon bio-icon-twitter\"\/><a target=\"_blank\" rel=\"nofollow noopener noreferrer\" href=\"https:\/\/plus.google.com\/+The7circlesUk_DIY_investor\/posts\" class=\"bio-icon bio-icon-googleplus\"\/><a target=\"_blank\" rel=\"nofollow noopener noreferrer\" href=\"https:\/\/www.linkedin.com\/in\/mike-rawson-700897ab\" class=\"bio-icon bio-icon-linkedin\"\/><a target=\"_blank\" rel=\"nofollow noopener noreferrer\" href=\"https:\/\/uk.pinterest.com\/miker0992\/\" class=\"bio-icon bio-icon-pinterest\"\/><\/p>\n<p class=\"bio-description\">Mike is the owner of 7 Circles, and a private investor living in London. &#13;<br \/>\n&#13;<br \/>\nHe has been managing his own money for 40 years, with some success.<\/p>\n<\/div>\n<p>          <!--\/.pagination-->\n        <\/div>\n\n","protected":false},"excerpt":{"rendered":"<p>Today\u2019s post looks at a recent paper from MAN on how much trend following to include in your portfolio. Honey, I Shrunk the Trend Following For reasons that I hope will become clear, the paper is called \u201cHoney, I Shrunk the Trend Following\u201d. The subtitle is clearer: \u201cHow much trend-following should investors hold in a [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":232304,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[96],"tags":[385,9221],"dealstore":[],"offerexpiration":[],"class_list":["post-232303","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing","tag-man","tag-trend"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.4 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>How much trend? - MAN - Som2ny Network<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/fivemor.com\/?p=232303\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"How much trend? - MAN - Som2ny Network\" \/>\n<meta property=\"og:description\" content=\"Today\u2019s post looks at a recent paper from MAN on how much trend following to include in your portfolio. Honey, I Shrunk the Trend Following For reasons that I hope will become clear, the paper is called \u201cHoney, I Shrunk the Trend Following\u201d. 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