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Data Set

Time Series Momentum: Original Paper Data

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.

Sic Transit Gloria Mundi

To quote Kipling, it’s crucial to “meet with Triumph and Disaster and treat those two imposters just the same.” Cliff explains that throughout the good and bad times, we’ve stressed that long-term investment success is about sticking with real but modest edges.

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.

Journal Article

Time Series Momentum

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

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

Which Trend Is Your Friend?

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

"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. "

Bibliography

Trend Following

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

DC Solutions Series: Trend Following Strategies in Target-Date Funds

We focus on the need for target-date funds to better protect against losses during equity market drawdowns and to better diversify. We suggest incorporating trend following as a potential solution, which may mitigate the problems caused by equity risk concentration.

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