🚦New research! "Trend following is not about alpha. It's about risk control." New research using data from 1979 to 2025: Simple equity trend filters (10-month MA or 12-1 momentum) deliver: * Same ~10% CAGR as buy-and-hold * Max drawdown slashed from -54% → -20% * Sharpe improved from 0.72 → 0.93 I always get the impression, in these dynamic asset allocation risk-on/off backtests, that the prob of curve fitting is high when filters are active only a few times. What do you think? Anw, worth taking a look. 📄 Paper: papers.ssrn.com/sol3/papers.cf… → More research like this in my weekly newsletter: ivanblanco.ai/newsletter

@iblanco_finance Meb Faber reported similar reduction in volatility, MaxDD going back to 1901 with 200 day MA in his paper "Quantitative Approach to Tactical Asset Allocation". Would probably have to do in a tax advantaged account. mebfaber.com/wp-content/upl…