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You Can’t Always Trend When You Want

Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder and Erik Stamelos
The Journal of Portfolio Management March 2020, 46 (4) 52-68; DOI: https://doi.org/10.3905/jpm.2020.1.133
Abhilash Babu
is a vice president at AQR Capital Management in Greenwich, CT
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Brendan Hoffman
is a managing director at AQR Capital Management in Greenwich, CT
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Ari Levine
is a principal at AQR Capital Management in Greenwich, CT
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Yao Hua Ooi
is a principal at AQR Capital Management in Greenwich, CT
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Sarah Schroeder
is a vice president at AQR Capital Management in Greenwich, CT
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Erik Stamelos
is a managing director at AQR Capital Management in Greenwich, CT
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Article Information

vol. 46 no. 4 52-68
DOI 
https://doi.org/10.3905/jpm.2020.1.133

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online February 28, 2020.

Article Versions

  • Latest version (February 1, 2020 - 03:35).
  • You are viewing the most recent version of this article.
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© 2020 Pageant Media Ltd

Author Information

  1. Abhilash Babu
    1. is a vice president at AQR Capital Management in Greenwich, CT. (abhilash.babu{at}aqr.com)
  2. Brendan Hoffman
    1. is a managing director at AQR Capital Management in Greenwich, CT. (brendan.hoffman{at}aqr.com)
  3. Ari Levine
    1. is a principal at AQR Capital Management in Greenwich, CT. (ari.levine{at}aqr.com)
  4. Yao Hua Ooi
    1. is a principal at AQR Capital Management in Greenwich, CT. (yao.ooi{at}aqr.com)
  5. Sarah Schroeder
    1. is a vice president at AQR Capital Management in Greenwich, CT. (sarah.schroeder{at}aqr.com)
  6. Erik Stamelos
    1. is a managing director at AQR Capital Management in Greenwich, CT. (erik.stamelos{at}aqr.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Portfolio Management: 46 (4)
The Journal of Portfolio Management
Vol. 46, Issue 4
March 2020
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You Can’t Always Trend When You Want
Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder, Erik Stamelos
The Journal of Portfolio Management Feb 2020, 46 (4) 52-68; DOI: 10.3905/jpm.2020.1.133

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You Can’t Always Trend When You Want
Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder, Erik Stamelos
The Journal of Portfolio Management Feb 2020, 46 (4) 52-68; DOI: 10.3905/jpm.2020.1.133
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  • Article
    • Abstract
    • DATA AND PRELIMINARIES
    • A TREND-FOLLOWING PERFORMANCE DECOMPOSITION FRAMEWORK
    • UNDERSTANDING THE DRIVERS OF TREND-FOLLOWING RETURNS
    • CONCLUSION
    • ADDITIONAL READING
    • ACKNOWLEDGMENT
    • APPENDIX A
    • APPENDIX B
    • APPENDIX C
    • ENDNOTES
    • REFERENCES
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