When Statistics Drop The Ball

When Statistics Drop The Ball by Rob Matthews, Covenant Capital Management

There is a plethora of research available on the historical performance of trend following and it seems that extending this ‘history’ further and further into the past is currently in vogue. AQR first reported that trend following showed strong performance over the past century [1]. Not to be outdone, Lempérière and coworkers showed similar results but studied the past two centuries [2].  Most recently, Greyserman and Kaminski showed that trend following exhibits strong performance dating all the way back to the 1200's [3].

Does this extensive and statistically significant evidence imply that trend following will continue to enjoy strong performance for the next, say, 20...