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Journal Article

Trends Everywhere

May 15, 2019 - Abhilash Babu Ari Levine Yao Hua Ooi Lasse H. Pedersen Erik Stamelos

We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors.

Journal Article

You Can't Always Trend When You Want

April 23, 2019 - Abhilash Babu Ari Levine Yao Hua Ooi Sarah Schroeder Erik Stamelos

We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.

White Paper

Transactions Costs: Practical Application

September 17, 2018 - Saied Hedayati Brian K. Hurst Erik Stamelos

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

Trend Following and Rising Rates

May 12, 2015 - Lasse H. Pedersen Brian K. Hurst Yao Hua Ooi Erik Stamelos

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