• Filter By.
  • Topic (${ Topics.length })
  • Type (${ ContentTypes.length })
  • Contributor (${ Contributors.length })
Filter By.







Close Clear Filters Apply

Showing 1 - 10 of 15 results

Sort By
  • Relevance
  • Newest
  • Oldest

White Paper

Understanding Managed Futures

November 1, 2010 - Brian K. Hurst Yao Hua Ooi Lasse H. Pedersen

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

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.

Alternative Thinking

Investor Guide: What to Expect From Alternatives

September 1, 2014 - AQR Capital Management

In this guide for investors, we discuss the case for including alternative investments in your portfolio.

Working Paper

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.

Data Set

Time Series Momentum: Factors, Monthly

June 28, 2019

We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.

Data Set

Time Series Momentum: Original Paper Data

February 27, 2018

This is the original data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets.

Journal Article

Which Trend Is Your Friend?

March 17, 2016 - Ari Levine Lasse H. Pedersen

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

White Paper

A Half Century of Macro Momentum

August 10, 2017 - Jordan Brooks

"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "

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.

Bibliography

Trend Following

January 8, 2015 - AQR Capital Management

Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.