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White Paper

Economic Trend

“Economic trend” capitalizes on the tendency for new information to have a persistent impact on asset prices by positioning in each market on the basis of trends in macroeconomic fundamentals. The strategy has realized consistently attractive risk-adjusted returns over a 50+ year sample, and performance is pervasive across both markets and measures. While it is a close relative of price trend-following, the two strategies are highly complementary.

White Paper

Building a Better Commodities Portfolio

Interest in commodities is rising again, thanks to their tendency to be particularly strong diversifiers during periods of rising or volatile inflation. We review what a “best-in-class” commodity portfolio looks like by exploring three potential enhancements to a passive approach to the asset class.

Journal Article

Trends Everywhere

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

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

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

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

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

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?

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

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.