Man Institute

Analysis

The Need for Speed in Trend-Following

Investing
January 2023
Time to read: 10 minutes

Why reactive trend-following strategies are the wingman of traditional

investors.

For institutional investor, qualified investor and investment professional use only. Not for retail public distribution.

Author

Adi Mackic
Senior Client Portfolio
Manager, Man AHL

www.man.com/maninstitute
 “I Feel the Need, The Need For Speed”
At Man AHL 1 we empathise with what is probably Maverick’s most famous quote in
1986’s “Top Gun”. Following trends quickly and being responsive to emergent (or
dissipating) changes in market direction, is a design goal for all of our trend-following
strategies. As we explain in this note, faster trend systems have attractive risk-
management properties and are more complementary to traditional investments than
slower systems.

What Is ‘Speed’ In Trend-Following?

Academic studies have shown that trends exist in markets over different time horizons,
with some persisting for a few days or weeks, and others running for several months
(Moskowitz et al., 2011). By ‘speed’ we mean trend-length sensitivity; ‘fast’ and
‘slow’ trend systems focus on capturing the short- and long- end of this spectrum
respectively. While there are a variety of algorithms that can be used to identify
trends, in this note we will investigate performance characteristics of a suite of double
exponentially weighted moving-average crossover (‘MAC’) models, as per Table 1.
These, or variations thereof, have been in use at Man AHL for around three decades
and still represent the model with the greatest risk allocation in Man AHL’s trend-
following strategies. The choice of trading speeds is chosen to both span the range of
trends we are seeking to capture, and minimise correlation between the models
(see Appendix A). For example, the correlation between the fastest and slowest speed
is 0.17.

Table 1. Reference for Noted Trading Speeds

Strategy Name MOM V. Fast MOM Fast MOM Med MOM Slow MOM V. Slow
Signal speed category Very fast Fast Medium Slow Very slow
Trend sensitivity (weeks) 4 7 12 20 24

Source: Man Group Database. Please see the important information linked at the end of this document for additional information
on hypothetical results.

To determine a model’s performance characteristics, we backtest it from 1995 through

to 2022 across the 50 most liquid futures and FX forward markets. Risk allocations
are split equally across asset classes: equity (25%), fixed income (25%), FX (25%) and
commodities (25%). Individual markets are volatility scaled such that each has equal
risk weight within an asset class. The list of markets and risk allocations are shown in
Appendix B, and high-level results are shown in Table 2.

Table 2. High-Level Statistics of Trend-Following Speeds

MOM V. Fast MOM Fast MOM Med MOM Slow MOM V. Slow
Sharpe ratio (before costs) 0.69 0.79 0.98 1.09 0.93
Skewness (before costs) 0.63 0.59 0.14 -0.14 -0.09
Turnover on Gross Exposure 14.3 7.6 4.3 2.7 2.1
Correlation to S&P 500 -0.20 -0.18 -0.15 -0.10 0.01
Correlation to US 10-year Treasuries 0.17 0.18 0.19 0.21 0.24

Date range, 1 January 1995 to 31 August 2022. Skewness calculated using montly overlapping returns.
Source: Man Group Database. Please see the important information linked at the end of this document for additional information
on hypothetical results.

As would be expected, turnover decreases with slower speeds which, as we will see,
has implications in the real world via transaction costs. Reassuringly, Sharpe ratios are
all significantly positive. Skewness is positive for almost all speeds, but is clearly more
so for fast strategies.

1. The author is grateful for contributions from Martin Luk, Graham Robertson, Matthew Sargaison and Otto van Hemert.

The Need for Speed in Trend-Following Investing |  2

Perhaps the most interesting aspect of Table 2 is the apparent trade-off between
Sharpe ratio and skewness; risk-adjusted returns increase with slower speed, but
risk-management properties, via skewness here, deteriorate. The intuition here is that
faster models truncate losses quickly when a trend reverses, cutting off that left tail,
while still allowing profits to run. In fact, this is a key property of univariate trend-
following strategies in general, rather than the dynamics of markets, as demonstrated
by Martin & Zou, 2012.

Slower trend models also have modestly higher correlation to traditional asset classes,
which might be expected since we expect traditional assets to increase in price over
the long term because of their embedded risk premia, which may be captured by the
slowest measures of trend.

The Need for Speed

Our analysis thus far has shown that returns from our MAC models at different speeds
are positive in the long term and are lowly correlated to each other. A systematic
mindset says that this diversification should be captured by trading all the speeds,
easily afforded by automation, thereby increasing risk-adjusted returns and, with the
judicious use of leverage, returns themselves.

But what weights should we allocate to each model speed? As we have found, faster
trading potentially delivers greater risk-management properties, but at some cost to
Sharpe ratio. However, this can still be particularly advantageous when combined with
traditional investments because of the consistent low or negative correlation over the
long term.

At Man AHL, we find a persuasive argument for having proportionate weights to

fast trend models through the analysis of ‘Crisis Alpha’. This is the term used to
describe trend-following’s historically observed property of performing well in risk-off
environments. In Figure 1 we plot the performance of each of our speeds by S&P 500
return quintile – around one month holding period on the top, and around three months
on the lower plot.

Figure 1. Performance By Speed During Equity Return Quintiles

S&P 500 21-day Return Quintiles

Average Annualised Return
25%

20%

15%

10%

5%

0%

-5%
Worst Quintile 2 3 4 Best Quintile Average

S&P 500 65-day Return Quintiles

Average Annualised Return

25%

20%

15%

10%

5%

0%

-5%
Worst Quintile 2 3 4 Best Quintile Average

MOM V.Fast MOM Fast MOM Med MOM Slow MOM V.Slow

Date range: 1 January 1995 to 31 August 2022. Each model speed is scaled to 10% annualised volatility (ex post).
Source: Man Group database, Bloomberg.

The Need for Speed in Trend-Following Investing |  3

The average annualised return for both time horizons studies – one month and three
months – generally improves as speed of trading decreases, as we found earlier.
However, convexity and performance when the S&P 500 is in its worst quintile, our
“Crisis Alpha”, increases as the speed is increased.

We can further investigate this effect by examining the asset class performance by
speed during the worst S&P 500 return quintile (across 21- and 65-day returns), shown
in Figure 2 below.

First, we show that regardless of speed, trend systems generate their “Crisis Alpha”
from gains in all asset classes, not just equities. Prior to 2022, these have been
dominated by long bond positions as crises in equities have typically led to a flight-
to-quality of bonds effect. Hamill et al., 2016 and Robertson, 2022, suggest this is
potentially an artifact of generally rising fixed income prices in the backtest period.

Second, positive equity attributions are typically a feature of faster trend models.
The slowest trend speed cannot shift to a short position over a one- or three-month
horizon. To us, this is crucial given that investors may often review performance, and
therefore investments, on a monthly or quarterly basis. This was of great significance
during the short-lived COVID-led equity rout in Q1 2020. If “Crisis Alpha” is a desired
outcome of an allocation to trend following, then a responsive trend system is key to
ensure that outcome.

Figure 2. Performance by Speed by Asset Class During Worst Equity Return Quintile

S&P 500 21-day return worst quintile

Average Annualised Return
25%

20%

15%

10%

5%

0%

-5%

-10%
MOM V. Fast MOM Fast MOM Med MOM Slow MOM V. Slow

S&P 500 65-day return worst quintile

Average Annualised Return
25%

20%

15%

10%

5%

0%

-5%

-10%
MOM V. Fast MOM Fast MOM Med MOM Slow MOM V. Slow

Fixed Income Equities Currencies Commodities

Date range: 1 January 1995 to 31 August 2022. Each model speed is scaled to 10% annualised volatility (ex post).
Source: Man Group database, Bloomberg.

The Need for Speed Execution

As always, the real world has the potential to get in the way. Transaction costs impact
faster trading speeds disproportionately because of the higher turnover (Table 1) and
therefore more frequent crossing of the bid-offer spread. Using Man AHL’s trading cost
models, built using three decades of experience trading trend-following strategies at
scale, we calculate Table 3, which extends Table 2.

The Need for Speed in Trend-Following Investing |  4

Table 3. Performance And Skewness of Trend Speeds, Before And After Costs

MOM V.Fast MOM Fast MOM Med MOM Slow MOM V.Slow
Sharpe ratio (before costs) 0.69 0.79 0.98 1.09 0.93
Sharpe ratio (after costs) 0.40 0.66 0.90 1.04 0.89
Skewness (before costs) 0.63 0.59 0.14 -0.14 -0.09
Skewness (after costs) 0.61 0.58 0.14 -0.14 -0.09

Date range, 1 January 1995 to 31 August 2022. Simulated after cost results are based on portfolio running USD 5bn.
Source: Man Group Database. Please see the important information linked at the end of this document for additional information
on hypothetical results.

The Sharpe results are somewhat intuitive; risk-adjusted returns after costs are
materially lower for faster speeds over the long-term. Interestingly, skewness properties
remain largely intact, and unaffected by the addition of costs.

Figure 3 is the with-costs analog of Figure 1, illustrating the effect of transaction costs
on “Crisis Alpha”. As expected, average returns at faster speeds are impacted more
once transaction costs are included but, consistent with our skewness findings of Table
3, performance during equity weakness is still best with faster trading.

Figure 3. Performance by Speed During Equity Return Quintiles (Including Trading Costs)

S&P 500 21-day Return Quintiles (incl. Costs)

Average Annualised Return
25%

20%

15%

10%

5%

0%

-5%
Worst Quintile 2 3 4 Best Quintile Average

S&P 500 65-day Return Quintiles (incl. Costs)

Average Annualised Return
25%

20%

15%

10%

5%

0%

-5%
Worst Quintile 2 3 4 Best Quintile Average

MOM V.Fast MOM Fast MOM Med MOM Slow MOM V.Slow

Date range: 1 January 1995 to 31 August 2022. Each model speed is scaled to 10% annualised volatility (ex post).
Source: Man Group database, Bloomberg.

It stands to reason, therefore, that efficient execution is the gatekeeper to being able
to trade fast. Maverick may have felt the need for speed, but he needs his F-14 to get
there. Man AHL’s F-14 is a purpose-built execution platform, with two cornerstones.
First, algorithms are tuned to Man AHL’s style of trading, taking advantage of the fact
that trends last at least several days, and hence trades can mostly be dripped slowly
and passively into the market, and only aggress when deemed necessary. Second,
flow is disguised to minimise the predictability of trades and hence reduce the negative
impact of high-frequency traders. Broadly, we find that Man AHL reduces transaction
costs by a factor of two over bank algorithms.

The Need for Speed in Trend-Following Investing |  5

 Diversification in a Traditional Portfolio
We have shown that there is no perfect trend speed; slow speeds can indeed deliver
good long-term performance but lack the attractive risk-mitigating properties of faster
speeds. However, to our knowledge, very few investors own solely trend-following
strategies. Instead, they tend to be used as part of a portfolio. If the aim of the trend-
following allocation is to boost the defensive properties of a portfolio, then perhaps
a more responsive system, allocating more to fast trend models, may suit best in
our view. We explore this below by comparing the drawdown profile of a traditional
60/40 portfolio 2 (“60/40 portfolio”) combined with various trend strategies. In order
to emphasise any drawdown impact, we choose an equal allocation between the
two components.

The 60/40 portfolio is combined with three different trend strategies. As we discussed
earlier, the low correlation of the returns of different trend speeds suggests their
combined use in a diversified trend-following system. Therefore the first trend strategy,
dubbed “MOM Equal Blend” combines all five trend speeds by taking the equally
weighted sum of our individual trend speeds. The second trend strategy is slower by
choice. Dubbed “MOM Slow Blend”, it combines the slowest two trend speeds only.
For both of the above trend strategies we introduce a speed diversification scaling
factor to address the resulting lower portfolio volatility that arises when combining
diversifying speeds. Finally, we also compare “MOM V.Slow” which was our slowest
trend speed highlighted earlier in this paper. All trend strategies are adjusted to reflect
10% return volatility before being combined with the 60/40 portfolio.

Figure 4 shows the drawdown chart of each combined portfolio as well as the 60/40
portfolio without an allocation to a trend strategy, alongside values at key drawdown
episodes. Here, drawdowns are defined as peak-to-current returns at each point in
time. As expected, all combinations with a trend strategy deliver some degree of risk
mitigation compared to the traditional portfolio. Moreover, the degree of downside
mitigation typically improves with greater allocation to faster speeds.
The results suggest that, just like Maverick, investors in trend-following, particularly
those seeking defensive properties, should feel the need for speed.

Figure 4. Drawdown Of Various Trend Speed Combinations with A 60/40 Portfolio

60/40 60/40 + MOM Equal Blend

0%

-10%

-20%

-30%

Jan 2000 Jan 2010 Jan 2020 Jan 2000 Jan 2010 Jan 2020

60/40 + MOM Slow Blend 60/40 + MOM V. Slow

0%

-10%

-20%

-30%

Jan 2000 Jan 2010 Jan 2020 Jan 2000 Jan 2010 Jan 2020

60/40 60/40+MOM Equal Blend 60/40+MOM Slow Blend 60/40+MOM V.Slow

30-Sep-02 -24.5% 0.0% -0.1% -0.4%
27-Feb-09 -32.1% -6.6% -13.6% -18.6%
30-Sep-15 -6.3% -3.1% -2.8% -3.1%
31-Oct-18 -4.1% -6.3% -5.4% -6.1%
31-Mar-20 -12.2% -2.1% -4.2% -3.7%
30-Jun-22 -14.4% -1.5% -2.4% -3.7%

Date range: 1 January 1995 to 31 August 2022. 60/40: Represented by 60% allocation to the MSCI World Index and 40%
allocation to the Barclays Global Aggregate Bond Index. The trend portfolios have been scaled to 10% annualised volatility (ex
post) prior to being combined with the 60/40 portfolio. Source: Man Group database, Bloomberg. Please see the important
information linked at the end of this document for additional information on hypothetical results.

2. The traditional 60/40 portfolio is based on 60% MSCI World Net Total Return and 40% Barclays Capital Global Aggregate Bond index rebalanced monthly.

The Need for Speed in Trend-Following Investing |  6

Bibliography
Hamill, C., S. Rattray, and O. Van Hemert. (2016). “Trend Following: Equity and Bond
Crisis Alpha”. Available at SSRN: https://ssrn.com/abstract=2831926

Martin, R. and D. Zou. (2012), “Momentum trading: ‘skews me”, Risk, 25(8), 52-57.

Moskowitz, T., Y. Ooi, and L. Pedersen (2012), “Time series momentum”, Journal of
Financial Economics, 104(2), 228–250.

Robertson, G. (2022), “Gaining Momentum: Where Next for Trend-Following?”, Man

Institute, Available at: https://www.man.com/maninstitute/gaining-momentum-trend

The Need for Speed in Trend-Following Investing |  7

Appendix A: Correlation of Trend Speeds

Table 4. Correlation of Trend Speeds

MOM V.Fast MOM Fast MOM Med MOM Slow MOM V.Slow
MOM V.Fast 1.00
MOM Fast 0.84 1.00
MOM Med 0.53 0.83 1.00
MOM Slow 0.31 0.55 0.84 1.00
MOM V.Slow 0.17 0.33 0.56 0.84 1.00

Date range, 1 January 1995 to 31 August 2022.

Source: Man Group Database.

The Need for Speed in Trend-Following Investing |  8

Appendix B: MOM strategy market universe
Sector Sub-Sector Name Market weight
Equity US S&P 500 10.00%
Equity US Nasdaq 100 10.00%
Equity US Russell 2000 10.00%
Equity Europe Euro-Stoxx 50 10.00%
Equity Europe FTSE 100 10.00%
Equity Europe DAX 10.00%
Equity Europe CAC 40 10.00%
Equity Asia Nikkei 225 10.00%
Equity Asia Kospi 200 10.00%
Equity Asia Hang Seng 10.00%
Fixed Income US Eurodollar 24m 8.33%
Fixed Income US 2y US Treasury Note 8.33%
Fixed Income US 5y US Treasury Note 8.33%
Fixed Income US 10y US Treasury Note 8.33%
Fixed Income US 20y US Treasury Bond 8.33%
Fixed Income Europe Euribor 24m 8.33%
Fixed Income Europe 2y German Gov Bond 8.33%
Fixed Income Europe 5y German Gov Bond 8.33%
Fixed Income Europe 10y German Gov Bond 8.33%
Fixed Income Europe Short-Sterling 24m 8.33%
Fixed Income Europe 10y UK Gilt 8.33%
Fixed Income Asia 10y Japanese Gov Bond 8.33%
Currencies G10 EUR-USD 11.11%
Currencies G10 JPY-USD 11.11%
Currencies G10 GBP-USD 11.11%
Currencies G10 CAD-USD 11.11%
Currencies G10 CHF-USD 11.11%
Currencies G10 AUD-USD 11.11%
Currencies G10 NZD-USD 11.11%
Currencies G10 SEK-USD 11.11%
Currencies G10 NOK-USD 11.11%
Commodities Agriculture Cocoa 5.26%
Commodities Agriculture Coffee 5.26%
Commodities Agriculture Corn 5.26%
Commodities Agriculture Soybeans 5.26%
Commodities Agriculture Sugar 5.26%
Commodities Agriculture Wheat 5.26%
Commodities Metals Aluminium 5.26%
Commodities Metals Copper 5.26%
Commodities Metals Gold 5.26%
Commodities Metals Lead 5.26%
Commodities Metals Nickel 5.26%
Commodities Metals Silver 5.26%
Commodities Metals Zinc 5.26%
Commodities Energy Brent Crude Oil 5.26%
Commodities Energy WTI Crude Oil 5.26%
Commodities Energy Heating Oil 5.26%
Commodities Energy US Natural Gas 5.26%
Commodities Energy Gas Oil 5.26%
Commodities Energy RBOB Gasoline 5.26%

Source: Man Group Database.

The Need for Speed in Trend-Following Investing |  9

Author

Adi Mackic
Senior Client Portfolio Manager, Man AHL
Adi Mackic is a Senior Client Portfolio Manager at Man AHL with
principal responsibility for communication of Man AHL’s strategies
to clients. Prior to joining Man AHL in 2015, he worked at IMC
Asset Management where he was responsible for sales and
marketing of systematic macro and credit hedge funds. Adi holds
an MSc in Finance and Investments and a BSc in International Business Administration
from the Rotterdam School of Management, Erasmus University.

The Need for Speed in Trend-Following Investing |  10

Hypothetical Results
Hypothetical Results are calculated in hindsight, invariably show positive rates of return, and are subject to various modelling assumptions, statistical
variances and interpretational differences. No representation is made as to the reasonableness or accuracy of the calculations or assumptions made
or that all assumptions used in achieving the results have been utilized equally or appropriately, or that other assumptions should not have been used
or would have been more accurate or representative. Changes in the assumptions would have a material impact on the Hypothetical Results and
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or market disruptions, regulatory (including tax) and other conditions then in existence may have on investment decisions for an Investment Product.
In addition, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also
adversely affect actual trading results. Since trades have not actually been executed, Hypothetical Results may have under or over compensated
for the impact, if any, of certain market factors. There are frequently sharp differences between the Hypothetical Results and the actual results
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The Need for Speed in Trend-Following Investing |  11