A Century of Evidence on Trend-Following Investing

Bibliographic record. Follow the original-source link for the publication.

Field	Value
Primary domain	Unclassified
Other domains	—
Methods	—
Facets	—
Authors	Brian Hurst, Yao Hua Ooi, Lasse Heje Pedersen
Published	2017-10-31
Source	The Journal of Portfolio Management
Identifiers	doi:10.3905/jpm.2017.44.1.015
URL	Open original source

Editorial synthesis

Why it matters

The paper extends the historical test of time-series momentum back to 1880 to ask whether recent trend-following performance is a short-sample accident or a cross-regime phenomenon, making it useful for long-horizon robustness analysis. (description:S1, description:S2, description:S3)

Main author claims

• The authors define the basic trend-following strategy as going long markets with positive recent returns and short markets with negative recent returns. (description:S1)
• The authors report: Using multiple historical data sources, the authors extend a time-series momentum strategy to 1880 and report consistent profitability over the long historical sample. (description:S2, description:S3)
• The authors also consider increased strategy assets, higher cross-market correlations since the credit crisis, and developments that may shape future conditions. (description:S4)

Data, method, or discussion scope

The official web description supports the strategy definition, research question, historical backtest beginning in 1880, and discussion of crowding and correlation conditions; it omits the full asset list, cost model, parameter choices, and uncertainty intervals. (description:S1, description:S2, description:S3, description:S4)

Main limitations

The long backtest depends on historical price reconstruction, tradability, and cost assumptions; reported historical profitability is not a future guarantee and does not by itself establish implementability under modern capacity constraints. (description:S2, description:S3, description:S4)

Relationships

• None recorded.