AQR on Global Investing since 1903

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This fund run by a SAC Capital alum bought restaurant stocks amid the pandemic

restaurantPrentice Capital Management was up 6.6% for the first four months of the year, compared to the S&P 500's 9.3% decline and the Russell 2000's 21.1% decline. The HFRX Equity Hedge Index was down 9.4% for the quarter. Q1 2020 hedge fund letters, conferences and more Gross and net exposures In his first-quarter letter to […]

AQR on Global Investing since 1903

White Paper from Cliff Asness’ AQR hedge fund:

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 diversifi cation benefi 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.

H/T Mebane Faber

A Century of Evidence on Trend Following AQR