A Century of Evidence on Trend-Following Investing

Brian Hurst; Yao Hua Ooi; Lasse Heje Pedersen

doi:10.3905/jpm.2017.44.1.015

A Century of Evidence on Trend-Following Investing

Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen

The Journal of Portfolio Management Fall 2017, 44 (1) 15-29; DOI: https://doi.org/10.3905/jpm.2017.44.1.015

Brian Hurst

is a principal at AQR Capital Management in Greenwich, CT.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Yao Hua Ooi

is a principal at AQR Capital Management in Greenwich, CT.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Lasse Heje Pedersen

is a principal at AQR Capital Management in Greenwich, CT, and a professor at Copenhagen Business School in Frederiksberg, Denmark, and New York University in New York, NY.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Article
Info & Metrics
PDF (Subscribers Only)

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Portfolio Management

Vol. 44, Issue 1

Fall 2017

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following A Century of Evidence on Trend-Following Investing

Message Subject (Your Name) has sent you a message from The Journal of Portfolio Management

Message Body (Your Name) thought you would like to see the The Journal of Portfolio Management web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

A Century of Evidence on Trend-Following Investing

Brian Hurst, Yao Hua Ooi, Lasse Heje Pedersen

The Journal of Portfolio Management Oct 2017, 44 (1) 15-29; DOI: 10.3905/jpm.2017.44.1.015

Citation Manager Formats

BibTeX
Bookends
EasyBib
EndNote (tagged)
EndNote 8 (xml)
Medlars
Mendeley
Papers
RefWorks Tagged
Ref Manager
RIS
Zotero

Save To My Folders

User Name *

Password *

Remember my user name & password.

A Century of Evidence on Trend-Following Investing

Brian Hurst, Yao Hua Ooi, Lasse Heje Pedersen

The Journal of Portfolio Management Oct 2017, 44 (1) 15-29; DOI: 10.3905/jpm.2017.44.1.015

Share This Article:

Tweet Widget Facebook Like

Jump to section

Article
Info & Metrics
PDF

Cited By...

Optimal Allocation to Time-Series and Cross-Sectional Momentum
Portfolio Protection? Its a Long (Term) Story...
Active Factor Completion Strategies
Short-Term Trend: A Jewel Hidden in Daily Returns
Trend-Following versus Cross-Sectional Momentum: A Data-Driven Statistical Factor Comparison
Carry and Time-Series Momentum: A Match Made in Heaven
Escaping the Backtesting Illusion
You Cant Always Trend When You Want
Skew and Trend Aversion: The Impact of Positive Skew and Behavioral Biases on Allocation Decisions
Enhancing Time-Series Momentum Strategies Using Deep Neural Networks
Time-Series Momentum: A Monte Carlo Approach
Real Estate in Mixed-Asset Portfolios for Various Investment Horizons
Protecting the Downside of Trend When It Is Not Your Friend

Google Scholar

Main menu

User menu

Search

The Journal of Portfolio Management

A Century of Evidence on Trend-Following Investing

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Similar Articles

Cited By...

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

A Century of Evidence on Trend-Following Investing

Explore our content to discover more relevant research

In this issue

Citation Manager Formats

Jump to section

Similar Articles

Cited By...

Stay Connected