Century of Trends

This was one of the first pieces we sent out to the Farm, now updated through 2016…

Abstract, chart, then downloads…

—-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, time series momentum has performed well across different macro environments, including recessions and booms, war and peacetime, highand low-interest rate regimes, and high- and low-inflation periods.

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Link to Download

A Century of Evidence on Trend-Following Investing

Website

http://www.aqr.com