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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.

Journal Article

A Century of Evidence on Trend-Following Investing

November 1, 2017 - Brian K. Hurst Yao Hua Ooi Lasse H. Pedersen

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

Commodities for the Long Run

October 20, 2016 - Ari Levine Yao Hua Ooi Matthew P. Richardson Caroline Sasseville

This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.

White Paper

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

September 21, 2015 - Brian K. Hurst John J. Huss Michael A. Mendelson Yao Hua Ooi

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

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

White Paper

Can Risk Parity Outperform If Yields Rise?

July 1, 2013 - Brian K. Hurst Michael A. Mendelson Yao Hua Ooi

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.

Journal Article

Demystifying Managed Futures

February 1, 2013 - Brian K. Hurst Yao Hua Ooi Lasse H. Pedersen

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

Building a Better Commodities Portfolio

July 1, 2012 - Bradley Kay Ari Levine Yao Hua Ooi Lasse H. Pedersen

Rather than relying on passive indexes like the S&P GSCI and the Dow Jones-UBS Commodity Index, investors can potentially build a better commodities portfolio by balancing risk across sectors and targeting a steady level of volatility through time.

Journal Article

Time Series Momentum

May 1, 2012 - Tobias J. Moskowitz Yao Hua Ooi Lasse H. Pedersen

We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.