For more than 80 years since 1903, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade.
There is strong positive predictability from a security’s own past returns for almost five dozen diverse futures and forward contracts that include country equity indexes, currencies, commodities and sovereign bonds over more than 25 years of data.
The paper describes a backward looking measure, "trendpot", which indicates whether a medium to long term trend following system would potentially have been profitable when applied to that particular market during the preceding month.
