Executive Summary

We study the performance of trend-following investing across global markets since 1903, extending
the existing evidence by more than 80 years. We find that trend-following has delivered strong
positive returns and realized a low correlation to traditional asset classes each decade for more
than a century. We analyze trend-following returns through various economic environments and
highlight the diversification benefit ts the strategy has historically provided in equity bear markets.
Finally, we evaluate the recent environment for the strategy in the context of these long-term results.

By:

Brian Hurst Fall 2012
Principal
Yao Hua Ooi
Principal
Lasse H. Pedersen, Ph.D.*
Principal

Source: AQR