PT - JOURNAL ARTICLE AU - Brian Hurst AU - Yao Hua Ooi AU - Lasse Heje Pedersen TI - A Century of Evidence on Trend-Following Investing AID - 10.3905/jpm.2017.44.1.015 DP - 2017 Oct 31 TA - The Journal of Portfolio Management PG - 15--29 VI - 44 IP - 1 4099 - https://pm-research.com/content/44/1/15.short 4100 - https://pm-research.com/content/44/1/15.full 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.TOPICS: Real assets/alternative investments/private equity, analysis of individual factors/risk premia, emerging, performance measurement