The people at 3Fourteen Research of providing good simple analysis for the value of trend-following using modern portfolio with actual performance data. This is not anything new, yet the narrative is compelling. Add managed futures to the classic stock/bond mix and you push out the efficient frontier. No surprise, yet even a 10% allocation will improve the return to risk trade-off. The gain comes from reducing bond exposure and switching to managed futures.
The expansion of the efficient from trend-following is significant even relative to adding asset to simple stock bond mix. You can expand the asset menu and see an efficient frontier expansion, but if you are looking for more risk reduction, add the trend-following piece.
We cannot say that the future will be the same as the past, yet these charts reinforce a compelling case for a simple strategy addition.
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