Essay·2017
Two Centuries of Trend Following
Brian Hurst, Yao Hua Ooi, Lasse Pedersen·AQR Capital Management
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Document Details
Author
Brian Hurst, Yao Hua Ooi, Lasse Pedersen
Institution
AQR Capital Management
Year
2017
Topic
Quantitative Investing & Systematic Strategies
Source Type
Essay
Abstract
AQR's empirical study demonstrating that trend-following strategies have generated positive returns across asset classes for over 200 years, providing evidence for the persistence of momentum as a factor.
