Trends Everywhere

Journal of Investment Management, Forthcoming

26 Pages Posted: 17 May 2019

See all articles by Abhilash Babu

Abhilash Babu

AQR Capital Management, LLC

Ari Levine

AQR Capital Management

Yao Hua Ooi

AQR Capital Management, LLC

Lasse Heje Pedersen

AQR Capital Management, LLC; Copenhagen Business School - Department of Finance; New York University (NYU); Centre for Economic Policy Research (CEPR)

Erik Stamelos

AQR Capital Management, LLC

Date Written: September 1, 2018

Abstract

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. Specifically, we study the performance of time series momentum for emerging market equity index futures, fixed income swaps, emerging market currencies, exotic commodity futures, credit default swap indices, volatility futures, and long-short equity factors. We find that time series momentum has worked across these asset classes and across several trend horizons. We examine the co-movement of trends across asset classes and factors, the performance during different market environments, and discuss the implications for investors.

Keywords: managed futures, time series momentum, trend following, factor momentum, alternative markets, hedge funds, trading strategies, exotic commodities

JEL Classification: G02, G11, G12, G13, G14

Suggested Citation

Babu, Abhilash and Levine, Ari and Ooi, Yao Hua and Pedersen, Lasse Heje and Stamelos, Erik, Trends Everywhere (September 1, 2018). Journal of Investment Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3386035 or http://dx.doi.org/10.2139/ssrn.3386035

Abhilash Babu

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Ari Levine

AQR Capital Management ( email )

Greenwich, CT
United States
2037423851 (Phone)

Yao Hua Ooi

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Lasse Heje Pedersen (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Copenhagen Business School - Department of Finance ( email )

Solbjerg Plads 3
Frederiksberg, DK-2000
Denmark

New York University (NYU) ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Erik Stamelos

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

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