Equity Trend Following Strategies are Shams – with Podcast Show Notes

Equity Trend Following Strategies are Shams

The ever-popular Equity trend following (or momentum strategies) — how is it faring in the current bull market? Why have statistics from these strategies have contributed to the recent concerns about the effectiveness of liquid alternative funds? Learn all about it with our chief investment officer, Chuck Self.
Show Notes: 

ap Gwilym, Owain, Andrew Clare, James Seaton, and Stephen Thomas. “Price and Momentum as Robust Tactical Approaches to Global Equity Investing.” Journal of Investing, 19, 80-92.

Frazzini, Andrea, Ronen Israel, and Tobias Moskowitz. “Trading Costs of Asset Pricing Anomalies,” Working Paper, AQR Capital Management.

Fung, William and David A. Hsieh. “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds.” Review of Financial Studies, 10, 275-302.

Hutchinson, Mark C. and John J. O’Brien. “Is This Time Different? Trend-Following and Financial Crises.” Journal of Alternative Investments, 17, 82-102.

Jusselin, Paul, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli, and Tung-Lam Dao. “Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies.” Available at SSRN.com.

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