Stats › Verhandelbare patronen › A century of trend
The century of trend following evidence has no row for the 2010s
Net Sharpe ratios by decade for a hypothetical blend of one, three and twelve month time series momentum signals, volatility targeted, after simulated two and twenty fees. January 1880 to December 2013. The final bar is a fourteen year block, not a decade, and it pools the strong 2002 and 2008 years with the weak 2011 to 2013 period.
A century of decade by decade trend following results shows net Sharpe ratios from 0.13 in the 1910s to 1.70 in the 1970s, averaging 0.77. The table's last row ends in December 2013, so it contains no 2010s decade at all.
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