Читать книгу Trend Following - Ritholtz Barry - Страница 16

Patrick Welton saw no evidence trend following has devolved. He constructed 120 trend following models. Some were reversal based, and some not. Some were breakout-style trading systems based on price action, and others relied on volatility and band-style breakouts. The average holding periods ranged from two weeks to one year. The results gave almost identical performance characteristics.

Welton addressed head on the misconception that the sources of return for trend following had changed. He pointed out starting from first principles, it was a fact the source of return for trend following resulted from sustained market price movements. Human reaction to such events (read: Daniel Kahneman), and the stream of information describing them, takes time and runs its course unpredictably. The resulting magnitude and rate of price change could not be reliably forecast. This is the precise reason why trend following works.49

One fund consultant confronted trend trading skeptics decades before trend following’s huge October 2008 positive returns:

[In the 1980s] on a tour of Germany sponsored by the Deutsche Terminborse, several advisors and pool operators were making a presentation to a group of German institutional investors. Among them were two trend-based traders, Campbell and John W. Henry. During the question-and-answer period, one man stood and proclaimed: “But isn’t it true that Trend Following is dead?” At this point, the moderator asked that slides displaying the performance histories for Campbell and Henry be displayed again. The moderator marched through the declines, saying, “Here’s the first obituary for trend-based trading. Here’s the next one.. and the next but these traders today are at new highs, and they consistently decline to honor the tombstones that skeptics keep erecting every time there’s a losing period.” Campbell and Henry have made their investors hundreds of millions of dollars since that time. It might, therefore, be a mistake to write yet another series of obituaries.50

Like sunrise, sunset you can always expect a new trend following obituary, oblivious to the data, and rooted in purposeful ignorance, will be written every few years by an agenda-driven press, EMT defenders, and player haters despite the incredible amounts of money made by trend following practitioners.

Perplexed at Wall Street’s lack of acceptance, one trend follower sees the danger in trying to be right: “How can someone buy high and short low and be successful for two decades unless the underlying nature of markets is to trend? On the other hand, I’ve seen year-after-year, brilliant men buying low and selling high for a while successfully and then going broke because they thought they understood why a certain investment instrument had to perform in accordance with their personal logic.”51

Trend following trader Paul Mulvaney made the point: “One thing to bear in mind is that we have made no changes to our trend following strategy since 2005. So in a way we take the ancient Spartan view that everything that needed to be said about long-term trend following has already been said.” He continued: “In recent years our research has focused on execution algorithms – but those are of minor importance versus the strategic trend following philosophy.”

Here is Mulvaney’s philosophy in performance data format:

Mark Spitznagel, a trader focused on tails and a close associate of Nassim Taleb, would characterize Mulvaney’s returns as “lumpy” with “extreme asymmetric payoffs” – exactly how he would refer to his trading world. And whether using Spitznagel’s strategy, or Mulvaney’s go-for-the-gusto high-octane strategy, an opportunistic plan of attack knows you aim to lose battles, but win the war.

Let me be clear, though: Mulvaney’s track record is but one example for industrious types to go reverse-engineer, to learn step by step how those volatile but overall up numbers came to be. His performance table is an initial shot across the bow to bring you into the trend following, month-to-month mindset of no benchmarks. But trend following is much more than one trend following track record alone – this strategy has performed consistently for more than a century across an untold number of traders. And the reasons to explain why markets have tended to trend more often than not include investors’ behavioral biases, market frictions, hedging demands, and never-ending market interventions launched by central banks and governments.52