Our Investment Committee members regularly produce interesting and informative research papers that you can read via the links below.
Trend Following Value vs Growth: Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios
In this article we explore the small-firm effect using MSCI style indexes for both developed and emerging markets for the period since 1995 and show how overlaying relative momentum and trend following strategies can substantially enhance both absolute and risk-adjusted returns.
The topic of pension savings and decumulation is of growing importance in many parts of the world as companies retreat from defined benefit schemes, leaving investment and withdrawal decisions to individuals. Some economists have focused their attention on this important topic by proposing ever more creative accumulation and decumulation strategies.
We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold portfolios. We also find it to be a superior method of asset allocation than risk parity.
Breaking into the Black Box: Trend Following, Stop Losses and the Frequency of Trading: The Case of the S&P 500
In this paper we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average trading rule, dominate the long only, passive investment in the index.
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios that offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find that robust alpha survives.