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Journal Article

A Century of Evidence on Trend-Following Investing

We simulate a trend-following strategy back to 1880 and investigate whether strong performance over a few decades was a statistical fluke, or a more robust phenomenon that may hold true over a wide range of economic conditions.

Journal Article

Demystifying Managed Futures

Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.

White Paper

Transactions Costs: Practical Application

We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.

White Paper

Understanding Managed Futures

Many investors have shied away from managed futures, perhaps due to a lack of understanding of how and why they work. This paper shows how such a strategy can be implemented. We then discuss their performance and diversification benefits historically

White Paper

Can Risk Parity Outperform If Yields Rise?

Risk parity investing is not, as some critics say, simply “leveraging bonds.” The evidence suggests that a risk parity portfolio may improve long-term risk-adjusted returns relative to traditional, equity-centric portfolios.

White Paper

Dog Bites Man: In August, Equity Selling in Risk Parity Was a Tiny Fraction of Market Volume

Commentators like to believe all price changes are about investors moving capital. But prices can move without trading, or with very little trading, if investors’ assessments of fundamentals or their eagerness to take risk, changes.

White Paper

Understanding Risk Parity

This paper describes a simple risk parity strategy and compares its performance to the typical 60/40 portfolio over nearly 40 years of historical data.

White Paper

Trend Following and Rising Rates

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes