TY - JOUR
T1 - A Century of Evidence on Trend-Following Investing
AU - Hurst,, Brian
AU - Ooi, Yao Hua
AU - Pedersen, Lasse Heje
PY - 2017/1
Y1 - 2017/1
N2 - 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.
AB - 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.
UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954921367572&rft.object_portfolio_id=&svc.holdings=yes&svc.fulltext=yes
U2 - 10.3905/jpm.2017.44.1.015
DO - 10.3905/jpm.2017.44.1.015
M3 - Journal article
VL - 44
SP - 15
EP - 29
JO - Journal of Portfolio Management
JF - Journal of Portfolio Management
SN - 0095-4918
IS - 1
ER -