We document significant “time series momentum” in equity index, currency, commodity, and
bond futures for each of the 58 liquid instruments we consider. We find persistence in returns …

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 …

We show that the returns of Managed Futures funds and CTAs can be explained by time
series momentum strategies and we discuss the economic intuition behind these strategies. …

Using a novel dataset consisting of daily futures prices going back to 1877, we find that returns
of commodity futures indices have, on average, been positive over the long run. Although …

We provide new out-of-sample evidence on trend-following investing by studying its performance
for 82 securities not previously examined and 16 long-short equity factors. Specifically, …

The outperformance of Risk Parity strategies during the recent credit crisis has provided
evidence of the benefits of a truly diversified portfolio. Traditional diversification focuses on …

“Managed futures” is an alternative investment that has historically achieved strong performance
in both up and down markets, exhibiting low correlation to traditional investments. It was …

In this paper we present a novel approach to investing across equity, bond, currency and
commodity markets.“Economic trend” capitalizes on the tendency for new information to have a …

We present a novel framework to decompose the drivers of trend-following performance into
(i) the magnitude of market moves,(ii) the strategy’s ability to profit from those market moves, …

Simpson’s paradox refers to the reversal of a statistical relationship between two variables
in sub-populations when the sub-populations are combined and analyzed as a population. …