A Century of Evidence on Trend-Following Investing

Brian Hurst,, Yao Hua Ooi, Lasse Heje Pedersen

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review


In this article, the authors study the performance of trend-following investing across global markets since 1880, extending the existing evidence by more than 100 years using a novel data set. They find that in each decade since 1880, time-series momentum has delivered positive average returns with low correlations to traditional asset classes. Further, time-series momentum has performed well in 8 out of 10 of the largest crisis periods over the century, defined as the largest drawdowns for a 60/40 stock/bond portfolio. Lastly, the authors find that time-series momentum has performed well across different macro environments, including recessions and booms, war and peace, high- and low-interest-rate regimes, and high- and low-inflation periods.
TidsskriftThe Journal of Portfolio Management
Udgave nummer1
Sider (fra-til)15-29
Antal sider15
StatusUdgivet - jan. 2017