GreshamQuant Research is the continuing evolution of the firm’s mission to deliver investor solutions across the commodity and managed futures universe. We are a quantitative investment research team with a singular focus on systematic absolute return strategies. Our approach combines the rigorous application of statistics and data science to a diverse set of markets, coupled with respect for the inherent uncertainties of forecasting financial markets. The GreshamQuant team couples deep cross-asset and alternative markets experience with modern trend following technology, robust risk management and portfolio construction, and proprietary alpha research. Led by J. Scott Kerson, MA, together with Chief Scientist, Thomas Babbedge, PhD, MSci, FRSS, FRAS, and Chief Operating Officer, Jonty Field, MSc, GreshamQuant’s skill set and investing experience extends far beyond the traditional commodity markets. And, as with all of Gresham products, our clients can rely on an institutional asset management framework, including regulatory, compliance, and security controls.
Babbedge & Kerson 2019 “Trend’s not Dead (It’s just moved to a trendier neighborhood)”.
In this white paper, GreshamQuant examine the low performance of mainstream market trend following over the past decade. The reason for this was not found to be due to over-crowding or a breakdown in the trendfollowing process itself, rather, it was due to a change in the behavior of those markets. By using a novel dataset of alternative commodity markets, GreshamQuant show how a set of simple selection criteria can identify a set of markets with inherently higher ‘trendiness’.
ALL INVESTMENTS INVOLVE RISK INCLUDING LOSS OF PRINCIPAL. PAST PERFORMANCE RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.