Trend Following in Equities II

As good as in other asset classes?

INTRODUCTION

One of the most debated questions in the managed futures industry is whether to include equities. Originally, these managers focused on exploiting commodity trends – hence their other name, commodity trading advisors (CTAs). As exchanges like the CME and CBOT introduced futures on other asset classes, including currencies and fixed income, the same trend-following approach was applied to these markets. The S&P 500 futures contract was launched in 1982, and other major equity index futures followed.