A Century of Evidence on Trend -Following Investing

Brian Hurst, Yao Hua Ooi, and Heje Pedersen Abstract In this article, the authors study the performance of trend-following investing acrossglobal markets since 1880,extending the existing evidence by more than 100 years using a novel data set. They find that in each decade since1880, time series momentum has delivered positive average returns with low correlations to traditional assetclasses. Further, time-series momentum has performed well in 8 out of 10 of the largest crisis periods over thecentury, defined as the largest drawdowns for a 60/40 stock/bond portfolio. Lastly, time series momentum hasperformed well across different macro environments, including recessions and booms, war and peacetime, highandlow-interest rate regimes, and high- and low-inflation periods.