A Century of Evidence on Trend-Following Investing: Executive Summary

We study the performance of trend-following investing across global markets since 1903, extending the existing evidence by more than 80 years. We fi nd that trend-following has delivered strong positive returns and realized a low correlation to traditional asset classes each decade for more than a century. We analyze trend-following returns through various economic environments and highlight the diversifi cation benefi ts the strategy has historically provided in equity bear markets. Finally, we evaluate the recent environment for the strategy in the context of these long-term results.