CTA · Core
Long-Term Trend Following
Slow trend: lookbacks of roughly 6–12 months, low turnover, fewer whipsaws, later entries, and the bulk of classic CTA crisis convexity.
Definition
Signals use 120–250 day MAs, 12-month TSMOM, or 55–200 day breakouts. Positions last months. You miss the first third of a move and avoid a lot of noise. This sleeve dominates SG Trend-like returns.
Why it matters
Capacity is highest here. So is the lag into a V-shaped recovery — the 2009 problem.
Case
March–April 2009: slow trend stays short risk assets into the bounce. The 2008 gift is partly given back. That lag is the price of the 2008 gift.
How to read it
If a manager is ‘pure long-term,’ demand the 2009 and 2020 Q2 numbers next to 2008 and 2022.
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