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Data Set
Time Series Momentum: Factors, Monthly
April 30, 2024
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Quick Takes
Top Three Investment Ideas to Consider for 2024
February 26, 2024
We highlight value, alternative trend strategies, and emerging market equities as top three investment ideas to consider for 2024.
Quick Takes
Alternative Trend Following in Tough Times
December 11, 2023
In our latest Quick Take, we make the case for trend following in alternative markets and show how alternative trend following can complement a private assets allocation.
Quick Takes
Trend Following in Alternative Markets
Q1 2023
What is alternative trend following? We summarize what a trend following approach is, how it can be applied to alternative markets, and why alternative trend following approaches have historically outperformed during difficult periods for traditional asset classes.
Quick Takes
Top Three Investment Ideas to Consider for 2023
Q1 2023
Watch a Quick Take on our Portfolio Solutions Group’s top three investment ideas for 2023.
White Paper
When Stock-Bond Diversification Fails
October 27, 2021
The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.
Sic Transit Gloria Mundi
February 25, 2020
To quote Kipling, it’s crucial to “meet with Triumph and Disaster and treat those two imposters just the same.” Cliff explains that throughout the good and bad times, we’ve stressed that long-term investment success is about sticking with real but modest edges.
Data Set
Time Series Momentum: Original Paper Data
February 27, 2018
This is the original data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets.
Journal Article
Which Trend Is Your Friend?
March 17, 2016
The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique but that are all related to trend-following at a high level.
Bibliography
Trend Following
January 8, 2015
Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.