A Century of Evidence on Trend-Following Investing
研究自1880年以来全球市场的趋势跟踪投资表现，发现时间序列动量在每个十年都带来正平均回报，与资产类别低相关，并在多数危机和不同宏观环境中表现良好。
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. <b>TOPICS:</b>Real assets/alternative investments/private equity, analysis of individual factors/risk premia, emerging, performance measurement