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White Paper
Understanding Managed Futures
November 1, 2010
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
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
Journal Article
Time Series Momentum
May 1, 2012
We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very 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. "
White Paper
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.
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
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.
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.
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.