With many investment strategies, the boundaries between intuition, historical coincidence, and genuine structural properties can often be blurred. In trend following in particular, this can lead to shorthand descriptions which become widely accepted but which obscure important nuance more than they clarify.
This series explores some of the core principles at the heart of trend following, with the aim of separating fact from fiction. Each one-page paper examines a single claim or property of the strategy in isolation; taken together, they provide a concise framework for understanding what trend following is designed to deliver and where intuition, even when compelling, can diverge from reality. Our focus is not simply whether each claim is supported by historical evidence but, more importantly for investors, whether there is a structural or theoretical rationale. By understanding why an investment strategy has behaved a certain way in the past, we can have a lot more faith in that behaviour continuing reliably into the future.
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“Past performance is not indicative of future results.” While true of any investment strategy, that disclaimer can be extrapolated to imply that, on a market level, past movements tell us nothing about future ones. But, is that fact or fiction?
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Diversification is one of the first lessons in finance, and one of the easiest to lose sight of in practice. By not putting all of their eggs in one basket, investors can reduce their reliance on any single market outcome, reducing concentration risk while enhancing risk-adjusted performance through a wider set of return drivers. CTAs and trend following managers have long argued that trading more markets delivers more of that benefit. But is this fact or fiction?
Publishing 26 October 2026
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Skewness of returns, defined as the asymmetry around the mean, offers a powerful lens through which to understand the behavioural and structural dynamics of different investment strategies. Imagine slowly climbing a staircase, only to take the lift back down. This analogy captures the essence of skewness: frequent small movements in one direction, punctuated by occasional large moves in the other. But the critical question is: is it fact or fiction that trend following is positively skewed?
Publishing 9 November 2026
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Trend following strategies have been coined crisis alpha – which, to some, merely implies insurance policies for when traditional assets crash. Is that fact or fiction?
Publishing 23 November 2026
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. For Illustrative purposes only. Important performance information, investment risks and legal and regulatory disclosures applicable to Aspect Capital programmes can be found [here].
