Trends Everywhere

Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen, Erik Stamelos

Publikation: Bidrag til tidsskriftTidsskriftartikelpeer review

Abstrakt

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. Specifically, we study the performance of time series momentum for emerging market equity index futures, fixed income swaps, emerging market currencies, exotic commodity futures, credit default swap indices, volatility futures, and long–short equity factors. We find that time series momentum has worked across these asset classes and across several
trend horizons. We examine the co-movement of trends across asset classes and factors, he performance during different market environments, and discuss the implications for investors.
OriginalsprogEngelsk
TidsskriftJournal of Investment Management
Vol/bind18
Udgave nummer1
Sider (fra-til)52-68
Antal sider17
ISSN1545-9144
StatusUdgivet - 2020

Emneord

  • Managed futures
  • Time series momentum
  • Trend following
  • Factor momentum
  • Alternative markets
  • Hedge funds
  • Trading strategies
  • Exotic commodities

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