Free Trend Following White Papers
Trend Following: Performance, Risk and Correlation Characteristics
by Graham Capital Management
This paper discusses systematic trend following, a hedge fund style that has a 20 year track record of producing positive annual returns with low to negative correlation to most other asset classes and hedge fund strategies.
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
by William Fung and David A. Hsieh
Shows how to model hedge fund returns by focusing on trend following strategy.
Position-sizing Effects on Trader Performance: An experimental analysis
by Johan Ginyard
Non-academic literature on stock and futures trading emphasizes the importance of “money management”, here defined as "how much of available capital is to be allocated in a specific market position", also called position size. The effect of position size was experimentally studied by letting two groups trade fictitious capital through a series of trades, with only one variable available for manipulation by the participants, that is, how much of available capital to be put at risk in each and every trade. The treatment group had received a three-hour lecture in position sizing, risk management, and psychological biases, whereas the control group did not. The results showed that participants in the treatment group lost all their money to a lesser extent (p < .01) than those in the control group. However, the treatment group did not gain significantly higher profits than the control group. Traders being able to gain money over the long run were taking smaller positions than losing and bankrupt traders were (p < .0001). By receiving a theoretical education, without any practical training, the risk for a trader of going bankrupt when trading simulated stocks was decreased to a tenth.