TY - JOUR T1 - A Century of Evidence on Trend-Following Investing JF - The Journal of Portfolio Management SP - 15 LP - 29 DO - 10.3905/jpm.2017.44.1.015 VL - 44 IS - 1 AU - Brian Hurst AU - Yao Hua Ooi AU - Lasse Heje Pedersen Y1 - 2017/10/31 UR - https://pm-research.com/content/44/1/15.abstract N2 - 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, the authors find that time-series momentum has performed well across different macro environments, including recessions and booms, war and peace, high- and low-interest-rate regimes, and high- and low-inflation periods.TOPICS: Real assets/alternative investments/private equity, analysis of individual factors/risk premia, emerging, performance measurement ER -