White Paper
May 16, 2023
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Joseph Dubois
We certainly find ourselves in uncertain times – but
how uncertain are they? We show macro uncertainty is currently high versus history. We
also address whether elevated macro uncertainty is likely to persist, or if we should
instead expect a return to the low uncertainty environment. Lastly, we address the
implications for investors, both in terms of possible returns to traditional assets, and
as to what alternatives might prosper or decline in such an environment.
White Paper
November 16, 2022
Trend following is having a banner 2022 amidst a
year of turmoil for traditional portfolios, but investors exploring an allocation to
trend-following may be wondering if they are “late to the trade,” while also anchoring
their expectations to the lean 2010s. We show that both the macroeconomic picture and
empirical evidence suggest that strong performance for trend-following may persist,
making it a potentially valuable source of diversifying returns during a challenging
time for the rest of investors’ portfolios.
Journal Article
November 1, 2017
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Brian K. Hurst
Yao Hua Ooi
Lasse H. Pedersen
We simulate a trend-following strategy back to 1880
and investigate whether strong performance over a few decades was a statistical fluke,
or a more robust phenomenon that may hold true over a wide range of economic conditions.
Journal Article
May 15, 2019
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Abhilash Babu
Ari Levine
Yao Hua Ooi
Lasse H. Pedersen
Erik Stamelos
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.
White Paper
August 10, 2017
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Joseph Dubois
"Macro momentum has the potential to deliver
strong positive returns with low correlation to traditional asset classes across
macroeconomic and market environments. It may also provide diversification benefits in
bear equity markets and rising yield environments. "
Journal Article
February 1, 2013
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Brian K. Hurst
Yao Hua Ooi
Lasse H. Pedersen
Commodity trading advisors (CTAs) managed
approximately $320 billion as of the end of the first quarter of 2012, running “managed
futures” funds that invest long or short in futures contracts on a variety of
commodities, such as metals, grains, cotton and other physical goods, as well as futures
and forwards on equity indices, Treasury bonds and currencies.
Journal Article
April 23, 2020
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Nicholas McQuinn
Ashwin Thapar
Daniel Tremblay
Investors have a natural urge to protect their
portfolios from sudden crashes, even though bad outcomes that unfold over longer periods
are more detrimental to reaching long-term goals. We show risk-mitigating and
diversifying strategies have added value more consistently than options-based hedging
over the more important, longer drawdowns.
White Paper
July 1, 2011
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Daniel Tremblay
Adam Berger
The financial crisis of 2008 made investors
painfully aware of tail risk. We present several approaches, when used in combination,
may be effective in reducing tail risk.
White Paper
May 12, 2015
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Lasse H. Pedersen
Brian K. Hurst
Yao Hua Ooi
Erik Stamelos
Can trend followers benefit from the impact of
rising yields on asset class returns? We explore a simple trend-following strategy
during rising rates and find that the strategy may benefit investors when markets
experience gradual, persistent changes
Journal Article
April 23, 2019
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Abhilash Babu
Ari Levine
Yao Hua Ooi
Sarah Schroeder
Erik Stamelos
We present a framework for understanding the drivers
of trend-following returns and show that recent performance challenges are primarily due
to muted moves across global markets rather than a change in trend following’s ability
to translate market trends into profits.
