A Half Century of Macro Momentum

AQR

Jordan Brooks

Research

24 Pages

AQR examines macro momentum, a systematic strategy using economic trends across equities, currencies, bonds, and rates to position portfolios. Backtested results since 1970 suggest diversification benefits during equity drawdowns and rising yields, while also arguing many global macro managers underutilize broader macro signals.

Key Takeaways

Consistent Cross Cycle Returns: The strategy produced positive annualized excess returns and Sharpe ratios in every simulated decade from 1970 through 2016 across multiple recessions and crises.
Bear Market Diversifier: During the five largest equity drawdowns since 1970, macro momentum generated gains in every episode while the S&P 500 experienced declines exceeding 20%.
Low Correlation Advantage: A 50/50 blend of macro momentum and diversified style premia achieved a 1.4 Sharpe ratio with a maximum drawdown of only 10.8%.
VIEW FULL REPORT

Join our newsletter to have all of this content + Exclusive Newsletter Bonus Content delivered to your inbox every week

Related Content

Portfolio Management
Do Podcasts Move the Stock Market?
Jun 2026
Portfolio Management
The Faucet and the Well: Cash Flow With a Lower Tax Bill
Jun 2026
Pension Funds & Endowments
US Endowment Study: Top 17 Funds Asset Allocation, Risk, and Risk-Adjusted Returns
Jun 2026

The information contained in this communication is of a general nature for informational purposes only, and does not constitute financial, investment, tax or legal advice. The information contained within this communication reflects the opinions of those referenced herein, and do not reflect the opinions of The Idea Farm, L.P. and its affiliates. Such opinions expressed herein are as of the date of production and are subject to change at any time without notice due to various factors, including changing market conditions or tax laws. Where data or information prepared by third parties is presented, no representation, warranty, or undertaking, expressed or implied, is given to the accuracy or completeness of such information by The Idea Farm, L.P. or any other person. While such sources are believed to be reliable, The Idea Farm, L.P. does not assume any responsibility for the accuracy or completeness of such information and does not undertake any obligation to update the information contained herein as of any future date. Any links to third party websites are offered only for use at your own discretion. The Idea Farm L.P., and its affiliates, are separate and unaffiliated from any third parties listed herein and are not responsible for their products, services, policies or the content of their website. All investments are subject to varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy or product referenced directly or indirectly in this communication will be profitable, perform equally to any corresponding indicated historical performance level(s), or be suitable for your portfolio. Past performance is not an indicator of future results.

Scroll to Top