Thanks - interesting!
I’ve been using trend following for a few years as a hedge, but 2020 has reduced my confidence that it will continue to work in the future.
I think the Q3 commentary by Newfound Research (which started the ROMO trend following ETF) was worth reading:
https://blog.thinknewfound.com/2020/10/q3-2020-commentary/
A quote:
“As long-time proponents of trend following, this research suggests we were wrong, or at the very least, the circumstantial evidence supporting this narrative suggests it. And by wrong we do not mean, “the market path that occurred from 2010 to 2020 is but a single realization of a large number of possible realizations and we just got unlucky.” Rather, it suggests that the very distribution defining how market returns materialize has slowly, but fundamentally, changed over the last decade.”"