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White Paper

Trend Following and Rising Rates

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes

White Paper

Transactions Costs: Practical Application

We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.

Working Paper

Trends Everywhere

We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors.

White Paper

You Can't Always Trend When You Want

We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.