Strategies

These strategies may appear simple at first glance. The reality is quite the opposite. It is very difficult to develop trend following strategies beyond the standard models whose rules are publicly disclosed and that barely outperform the market index. My objective is for them to maintain superior returns over an extended period. This is a demanding exercise: each rule must play its role without interfering with the others, like the parts of a clockwork mechanism. This is why these methods remain confidential — not out of a desire for mystery, but out of competitive necessity. A discretionary portfolio manager never reveals that he is about to buy certain securities, so as not to be front-run. Reputable firms such as Citadel or Goldman Sachs that engage in algorithmic trading require their employees to sign strict confidentiality agreements.

Before exploring the strategies, one aspect of their behaviour deserves to be understood. Trend following can temporarily amplify a drawdown at the start of a reversal — this is a documented characteristic, not a flaw. Research explains it as follows:

"We find that simple trend-following strategies, on average, provide less protection at the start of a drawdown but pick up speed the longer the drawdown lasts. A drawdown generally is a turning point, and trend-following strategies tend to have the wrong positions initially thereby exacerbating early-stage drawdowns. The longer the drawdown, the more likely the trend-following strategies enter into the right positions. As trend-following strategies also make a good return in 'good' states — states where Defensive Absolute Return (DAR) tends to realize lower returns — we find that both approaches are complementary in providing downside protection."

— Baltussen, Martens & Van der Linden — The Best Defensive Strategies: Two Centuries of Evidence, Robeco / Northern Trust Asset Management, novembre 2025