SI416: 137 Years of Trend: What the Evidence Really Shows ft. Yoav Git

Trend-following strategies remain remarkably consistent across diverse economic regimes, as evidenced by data spanning over 130 years. While recent performance has faced scrutiny, the strategy’s defensive nature and positive convexity continue to provide essential portfolio protection. Beyond broad performance, successful systematic investing relies on deep operational expertise, particularly in managing commodity roll risks and understanding market liquidity. Oil market dynamics, specifically, demonstrate how capacity utilization and storage constraints drive price volatility, often creating significant spreads that financial players must navigate during contract rolls. Effective risk management, including the use of volatility scaling and careful monitoring of instrument-level variance, remains the cornerstone of robust systematic performance. Ultimately, the integration of quantitative models with a nuanced understanding of physical market realities separates sustainable, long-term investment success from short-term market noise.