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Data Set
Time Series Momentum: Factors, Monthly
March 29, 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.
White Paper
Trend Following and Rising Rates
May 12, 2015
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
Alternative Thinking
Investor Guide: What to Expect From Alternatives
September 1, 2014
In this guide for investors, we discuss the case for including alternative investments in your portfolio.
White Paper
Trend Following in Focus
September 19, 2018
We use live data of trend-focused managers starting in 2000 via the SG Trend Index to contextualize recent performance and to re-affirm the merits of the strategy.
Bibliography
Trend Following
January 8, 2015
Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.
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.
White Paper
A Half Century of Macro Momentum
August 10, 2017
"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. "
DC Solutions
DC Solutions Series: Trend Following Strategies in Target-Date Funds
January 27, 2016
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.
Journal Article
Which Trend Is Your Friend?
March 17, 2016
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.
Journal Article
Demystifying Managed Futures
February 1, 2013
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.