Applying a Systematic Investment Process to Distributive Portfolios: A 150 Year Study Demonstrating Enhanced Outcomes Through Trend Following

37 Pages Posted: 20 Jan 2017 Last revised: 6 Feb 2017

Jon Robinson

Blueprint Investment Partners LLC

Brandon Langley

Blueprint Investment Partners

David Childs

Spartan Planning & Wealth Management

Joe Crawford

Blueprint Investment Partners

Ira Ross

Spartan Planning & Wealth Management

Date Written: November 1, 2016

Abstract

The objective of this paper is to examine the absolute and risk-adjusted effects on distribution rates and total wealth created by adding loss-limiting trend following strategies to buy and hold portfolios. Using 150 years of equity and bond data, we found that applying trend following to distributive portfolios results in less frequent and less severe failures compared with a buy and hold strategy. Additionally, we concluded that trend following allows for an increased allocation to equities without increased volatility relative to buy and hold. As a result, at the same level of volatility, portfolios can create greater total wealth and distributions.

Keywords: Investments, Portfolio Management, Risk Management, Trend Following, Volatility, Withdrawal Rates, Endowments

JEL Classification: Y10, N2, N21, N22, N20, N24, N25, G00, G01, G02, G1, G10, G11, G12, G14, G15

Suggested Citation

Robinson, Jon and Langley, Brandon and Childs, David and Crawford, Joe and Ross, Ira, Applying a Systematic Investment Process to Distributive Portfolios: A 150 Year Study Demonstrating Enhanced Outcomes Through Trend Following (November 1, 2016). Available at SSRN: https://ssrn.com/abstract=2902042 or http://dx.doi.org/10.2139/ssrn.2902042

Jon Robinson (Contact Author)

Blueprint Investment Partners LLC ( email )

1250 Revolution Mill Drive
Suite 150
Greensboro, NC 27405
United States

Brandon Langley

Blueprint Investment Partners ( email )

1250 Revolution Mill Drive
Suite 150
Greensboro, NC 27405
United States

David Childs

Spartan Planning & Wealth Management ( email )

1250 Revolution Mill Drive
Suite 127
Greensboro, NC 27405
United States

Joe Crawford

Blueprint Investment Partners ( email )

1250 Revolution Mill Drive
Suite 150
Greensboro, NC 27405
United States

Ira Ross

Spartan Planning & Wealth Management ( email )

1250 Revolution Mill Drive
Suite 127
Greensboro, NC 27405
United States

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