The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

In this article, we revisit the myths regarding the superior performance of market timing
strategies based on moving average and time-series momentum rules. These active timing …

We examine applying a trend following methodology to global asset allocation between
equities, bonds, commodities and real estate. This strategy offers substantial improvement in …

Despite the widespread popularity of trend-following investing, optimal trend-following in the
presence of transaction costs remains poorly understood. Existing studies on the subject are …

Despite the ever-growing interest in trend following and a series of publications in academic
journals, there is a dearth of theoretical results on the properties of trend-following rules. Our …

The risk of experiencing bad investment outcomes at the wrong time, or sequence risk, is a
poorly understood but crucial aspect of the risk investors face—particularly those in the …

There is much controversy in the academic literature on the presence of short-term trends in
financial markets and the trend-following strategy's profitability. We restrict our attention to …

We show that combining momentum and trend following strategies for individual commodity
futures can lead to portfolios which offer attractive risk adjusted returns which are superior to …

Using a large sample size of 521 firms, this study is the first to evaluate and compare the
performance of five prominent factor-pricing models in PSX: the CAPM, Liu's two-factor …

In this article, we compare a variety of technical trading rules in the context of investing in the
S&P500 index. These rules are increasingly popular, both among retail investors and CTAs …