We use a unique dataset reporting the trading of an institutional asset manager implementing
trend following strategies to estimate the associated transaction costs. With information both at
the trade and the fund levels, we disentangle the sources of these costs by differentiating individual
execution quality from managerial decisions. We show that the disappointing performances ob-
served for trend following these recent years are explained by a drop in the volatility of the futures
markets these strategies generally trade due to an higher proportion of fixed costs.