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Perspective
The Raisons d'être of Managed Futures
August 17, 2022
Managed Futures strategies have an implicit dual mandate, First, to deliver positive returns on average and second, to generate especially attractive returns during large equity market drawdowns. This is one of the big reasons managed futures strategies can be valuable in a portfolio. Unfortunately, by and large, the industry—intentionally or not—has been optimizing for one at the expense of the other by introducing carry and market beta exposure.
Data Set
Time Series Momentum: Factors, Monthly
July 29, 2022
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
When Stock-Bond Diversification Fails
October 27, 2021
The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.
Sic Transit Gloria Mundi
February 25, 2020
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
Trends Everywhere
May 15, 2019
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
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.
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.
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
A Century of Evidence on Trend-Following Investing
November 1, 2017
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.
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. "