Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)

Trend following functions as a mechanism for providing liquidity to non-profit-seeking hedgers, establishing a sustainable risk premium that persists despite market evolution. Effective quantitative strategies require simplicity and robustness, as excessive filtering and curve fitting often lead to poor out-of-sample performance. While managed futures provide critical diversification, their inherent volatility often alienates investors. A more durable approach involves integrating managed futures with global market-cap-weighted equities to create an "all-weather" portfolio that balances the need for uncorrelated returns with the psychological comfort required for long-term client retention. This strategy avoids the pitfalls of over-engineering and acknowledges that successful investing often requires harvesting uncomfortable risk premia while maintaining a disciplined, non-reactive framework. By aligning investment structures with both mathematical reality and human behavior, practitioners can build more resilient portfolios capable of navigating diverse market environments.