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.
Original language | English |
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Journal | The Journal of Portfolio Management |
Volume | 44 |
Issue number | 1 |
Pages (from-to) | 15-29 |
Number of pages | 15 |
ISSN | 0095-4918 |
DOIs | |
Publication status | Published - Jan 2017 |