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Century of Trend-Following Evidence by Samuel Kristanto is a document available to read on EtoBox.

What is Century of Trend-Following Evidence about?

The document analyzes the performance of trend-following investing across global markets from 1903 to 2012. It finds that trend-following delivered strong positive returns each decade with low correlation to traditional assets. The strategy provided diversification benefits, especially during equity bear markets. A simple time series momentum strategy was constructed using 59 markets across commodities, equities, bonds and currencies. It achieved annualized gross returns of 20% and net returns of 14.3% afte

Author

Samuel Kristanto

Language

EN