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New AQR Paper Seeks to Demystify Trend-Following Investing

The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique, but which are all related to trend-following at a high level, AQR researchers write in a working paper.

In the paper — “Which Trend Is Your Friend?” — Ari Levine and Lasse H. Pedersen seek to unify many seemingly disparate strategies in a simple, robust and intuitive framework.

They contend they prove that generalized forms of many trend-based investment strategies are equivalent, and provide intuition for how different approaches to trend-following vary from strategy to strategy.