Abstract
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.
Originalsprog | Engelsk |
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Tidsskrift | The Journal of Portfolio Management |
Vol/bind | 44 |
Udgave nummer | 1 |
Sider (fra-til) | 15-29 |
Antal sider | 15 |
ISSN | 0095-4918 |
DOI | |
Status | Udgivet - jan. 2017 |