Summary
AQR’s researchers study trend-following returns across global markets since 1880, extending the evidence by more than 100 years. This Fall 2014 update of their 2012 paper adds older data and more markets.
They find positive returns in every decade, low correlation to stocks and bonds, and a record of strong results during equity bear markets.
Source
- Title
- A Century of Evidence on Trend-Following Investing
- Author
- Brian Hurst, Yao Hua Ooi and Lasse H. Pedersen
- Year
- 2014
- Published by
- AQR Capital Management
- Length
- 16 pages
- File
- PDF · 4.5 MB