A Century of Evidence on Trend-Following Investing

Brian Hurst,, Yao Hua Ooi, Lasse Heje Pedersen

Research output: Contribution to journalJournal articleResearchpeer-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.
Original languageEnglish
JournalThe Journal of Portfolio Management
Issue number1
Pages (from-to)15-29
Number of pages15
Publication statusPublished - Jan 2017

Cite this