Hi Norbert,

You are right to point out that trend-following is a popular technique to derive anomaly returns. I did briefly refer to it in the article, in particular when referring to Mandelbrot’s research and with the link to Baltussen et al’s paper on Global Factor Premiums.

Apologies for not expanding on it further. Bear in mind that the purpose of the article was primarily to debunk the EMH rather than suggest investment strategies to active investors. And, in fewer than 1800 words, it was quite a challenge!