"Two centuries of trend following"

Because momentum is one of the very few equity market anomalies that holds up under scrutiny, trend following actually does work. And in the case of futures, trend following has become the default quasi-mystical survival strategy for midlevel Commodity Trading Advisors.
(default, dear Brutus, is not in our stars but in ourselves, that we are underlings)
From arXive:

Y. Lempérière, C. Deremble, P. Seager, M. Potters, J. P. Bouchaud

Capital Fund Management, 23 rue de l’Université, 75007 Paris, France

April 15, 2014

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is ≈5 since 1960 and ≈10 since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.

 ...MORE (17 page PDF)

HT: Abnormal Returns

Previously on the momo channel:
Momentum As The Only Reliable Market Anomaly
Whoa! Has The Small-Cap Premium Disappeared? That Would Leave Only Momentum in the Tried-and-True Anomaly File!
UPDATED--Cliff Asness' AQR Capital: A Century of Evidence on Trend-Following Investing; Since 1903
UPDATE--More on "A Century of Evidence on Trend-Following Investing"
AQR Capital's Cliff Asness on Market Efficiency
Attention All Mo-mo Mamas: The Huge Hidden Downside Risk in Momentum Trading
Alpha Persistence & A Simple Momentum System For Beating the Market
The Last Word On Asness' Alpha, Buffet's Beta and The Failure of Commodity Quants (and how to turn hyperlinks into footnotes)
Testing Small-batch Artisanal Portfolio Construction With Cliff Asness and Grantham, Mayo's James Montier
AQR--"Demystifying Managed Futures" (Returns and Anomalies)
Improving on the Four-factor (beta, size, value, momentum) Asset Pricing Model