20 year Trend Index Returns

I'm not totally sure why I wanted to see this. I think it's because I'm turning 61 this year and a horizon of 20 years would put me at ~80.  By 80 I'm probably going to be very slowed down -- most of my family has either had heart attacks or become demented by then -- and I think I want to annuitize a fair chunk of what's left of capital by then in order to hedge out what's left of lifetime consumption over a period where I am less concerned about what happens.  That means my planning horizon (today) is shortening but it's not tiny and I need to make sure I am judicious about how I manage what I have between now and then.  20 years seems like a reasonable look-forward horizon. 


I also have a material allocation to trend following via both mutual funds and CTAs so I'm curious what things might look like if I set my sights 20 years out. The trend following allocation is there for the convexity of the payoff during long drawdowns but it also has a negative premium which is a 2-dollar way of saying it as a positive return most of the time.  That combination of convexity+return is a beautiful hedge if it works. But really, in the end the real decision for me is: "keep the allocation or ditch it?" ...and it's been really really hard to rationalize keeping it since 2009. It's been like taking bitter vitamins for my health with no double-blind studies to back them up.

Here in this post I am using the new Newfound Research Trend Index which I discussed previously here. In this post's case I just did this: I compounded the index over rolling 20 year periods (1928+20 years) and then annualized it. Simple enough. But how bad or good does it get?  It looks like this below (I always disclaim "if I got it right" and really, I never really know. That's the downside of a thinly-read blog. I'd love to get some feedback. I hate the negative stuff but even that sometimes spurs growth...):

So, um, yeah. Based on this, I'd say "keep."  If the past pattern continues, that is, even that crappy 2%-ish 20 year return back in 1950, I'd say that this is not a total loser for what I'm trying to do.  Assuming I am investing like the index, which is, in fact, a little bold.