In a CAIA post "A Mystery Equity Factor", the author discusses a mystery factor. Look it is uncorrelated with the major factors, so it looks to be unique. It also has positive annualized returns versus other factors.
This mystery factor is revealed to be managed futures, specifically trend-following. This is an interesting way to portray trend-following. I don't really buy this depiction of trend-following as a unique risk factor or premium, but if you broaden your thinking, it is special. The CSAM trend-following index is a diverse portfolio of trend with a rather simple model that creates a unique return stream based on the behavior of investors to follow price action. At the least, it looks as though trend-following is a better alternative than some of the other well-defined factors such as value, size, momentum, quality and low volatility.
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