CTA/Trend - basics
2013 Demystifying Managed Futures Hurst, Pedersen - AQR
https://www.investmentpod.com/assets/uploads/whitepapers/AQR-A-Century-of-Trend-Following-Investing.pdf
appendix B
distinguish Time-series versus Cross-section Momentum
- Quant Momentum Strategy Gets Maligned Unfairly: Aaron Brown... written in 2021 (end of?)
Over the long run, betting that things will continue as they have in the recent past is like being the casino in roulette: You lose a lot of bets, but you end up winning more than you lose.By Aaron Brown
(Bloomberg Opinion)
-- The two oldest investment strategies are to buy things that are cheap (value) and buy things that are going up (momentum). These ideas long predate modern financial theory and were as popular among cigar-chomping, shirt-sleeve, high-school-dropout traders in the Chicago pits as the pipe-smoking, tweed-jacketed PhDs in the University of Chicago faculty club.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4025868
The momentum portfolio has significantly outperformed the stock market, which had a 0.39 Sharpe ratio over the same period. But momentum’s real value is that it has a negative correlation with the market. .....Since April 2020, the story is not pretty.
What to make of this work? Well, you could say you don’t believe in momentum, so you don’t want the momentum ETFs anyway, regardless of recent performance. Or you could say you believe in momentum, so you’ll wait until these ETFs start doing well before buying them. I think you should pay attention to the long-term, cross-market evidence for all flavors of momentum and make sure your portfolio has a healthy exposure to all types. Going all in on one type — cross-sectional momentum in U.S. stocks — can mean experiencing deep periods of drawdowns over several years. But diversified momentum for the long-term is among the most reliable bets we know in finance.