Theory and Practice of Trend Following Investing
Yao Hua Ooi,
Principal, AQR Capital Management
Abstract
Trend-following is a hedge fund investment strategy that has been pursued by CTAs for decades, and was one of the best performing strategies in the global financial crisis. Since then, performance of the strategy has been more mixed and questions have been raised around its long-term viability, as well as its dependence on various macro factors. AQR has taken a distinct approach to demystifying trend following for investors through research and is currently one of the largest trend-following managers in the world. In this presentation, we study the performance of trend-following investing across global markets since 1880, extending the existing evidence by more than 100 years. We find that trend following has delivered strong positive returns and realized a low correlation to traditional asset classes for more than a century. We analyze trend-following returns through various economic environments and highlight the diversification benefits the strategy has historically provided in equity bear markets. Finally, we evaluate the recent environment for trend following in the context of these long-term results.
About the Speaker
|
Yao Hua is a Principal on AQR’s Global Asset Allocation team, focusing on research and portfolio management of macro-related strategies that include managed futures, risk parity, and commodities. His research has been published in the Journal of Financial Economics and the Journal of Investment Management. Yao Hua was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures, and shared the 2013 Whitebox Prize for his work on time series momentum. A native Penangite, Yao Hua is an alumnus of the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, where he earned a B.S. in economics and a B.S. in engineering, graduating summa cum laude in both. |
Seminar Details
| Date |
Tuesday, 23 February 2016 |
| Time |
4.00pm to 6.00pm |
| Venue |
Singapore Management University
Lee Kong Chian School of Business, Level 1
Seminar Room 1-2
|
| Address |
Lee Kong Chian School of Business
50 Stamford Road
Singapore 178899
(Click here for map) (Building #2)
|
| Register |
 |
Sim Kee Boon Institute for Financial Economics( http://skbi.smu.edu.sg/ )
Follow us on Facebook: SKBI.SMU | Twitter: @SKBI_SMU
To unsubscribe from SKBI mailing list, please email skbi_enquiries [at] smu.edu.sg.
