Papers & Articles

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Abrams, Bhaduri, Flores2010The Benefits of Managed Futures 25 Years LaterCME GroupTrend Following, CTAs
Ang, Goyal, Ilmanen2014Asset Allocation and Bad HabitsRotman International Journal of Pension ManagementMomentum, Mean Reversion, Asset Allocation
Antonacci2011Optimal Momentum: A Global Cross Asset ApproachPortfolio Management ConsultantsMomentum
Asness2014My Top 10 PeevesAQR Capital ManagementFinance Misconceptions
Asness, Frazzini, Israel, Moskowitz2014Fact, Fiction and Momentum InvestingJournal of Portfolio ManagementMomentum
Asness, Frazzini, Pedersen2012Leverage Aversion and Risk ParityFinancial Analysts JournalPortfolio Management, Risk Management
Asness, Ilmanen, Israel, Moskowitz2015Investing with StyleJournal of Investment ManagementAlternative Beta, Factor Investing
Asness, Moskowitz, Pedersen2013Value and Momentum EverywhereJournal of FinanceMomentum, Value
Babu, Levine, Ooi, Pedersen, Stamelos2018Trends EverywhereJournal of Investment ManagementTrend Following, Factor Momentum
Babusiaux, Pierru, Lasserre2011Examining the Role of Financial Investors and Speculation in Oil MarketsJournal of Alternative InvestmentsOil Markets, Speculation
Baltas2014Momentum Strategies in Futures Markets and Trend-following FundsImperial College Business SchoolTrend Following
Baltas2015Trend-Following, Risk-Parity and the Influence of CorrelationsBook: "Risk-based and Factor Investing"Risk Parity, Trend Following
Baltussen, Da, Lammers, Martens2020Hedging Demand and Market Intraday MomentumJournal of Financial EconomicsMomentum, Gamma Hedging
Barberis, Shleifer2003Style InvestingJournal of Financial EconomicsAlternative Beta
Barberis, Shleifer, Vishny1998A Model of Investor SentimentJournal of Financial EconomicsBehavioral Finance
Bhardwaj, Gorton, Rouwenhortst2013Fooling Some of the People All of the TimeYale UniversityTrend Following, Commodities
Bhojraj, Swaminathan2006Macromomentum: Returns Predictability in International Equity IndicesJournal of BusinessMomentum
Black, Scholes1972The Pricing of Options and Corporate LiabilitiesUniversity of Chicago, MITOption Pricing
Blitz, de Groot2014Strategic Allocation to Commodity Factor PremiumsJournal of Alternative InvestmentsAlternative Beta, Factor Premia
Bondarenko2014Variance Trading and Market Price of Variance Risk Journal of EconometricsVolatility, Options, Variance
Bouchaud, Dao, Deremble, Nguyen, Potters2016Convexity at Work in Trend FollowingCapital Fund ManagementTrend Following
Bouchaud, Deremble, Lemperiere, Seager2014Two Centuries of Trend FollowingCapital Fund ManagementTrend Following
Brunnermeier, Nagel, Pedersen2008Carry Trades and Currency CrashesNBER Working PaperFX Carry
Burnside, Han, Hirshleifer, Wang2010Investor Overconfidence and the Forward Premium PuzzleNBER Working PaperOverconfidence, Forward Pricing Puzzle
Camerer, Frydman2019The Psychology and Neuroscience of Financial Decision MakingTrends in Cognitive SciencesBehavioral Finance
Cenedese, Sarno, Tsiakas2014Foreign Exchange Risk and the Predictability of Carry Trade ReturnsJournal of Banking and FinanceFX Carry
Chambers, Dimson2016Financial Market History: Reflections on the Past for Investors TodayCFA InstituteFinance History
Christiansen, Ranaldo, Söderlind2011The Time-Varying Systematic Risk of Carry Trade StrategiesJournal of Financial and Quantitative AnalysisFX Carry
Cohen, Frazzini2008Economic Links and Predictable ReturnsJournal of FinanceBehavioral Finance, Alternative Beta
Cox, Ross, Rubinstein1979Option Pricing: A Simplified ApproachJournal of Financial EconomicsOption Pricing
Crittenden, Wilcox2009Does Trend Following Work on Stocks?Blackstar FundsEquity Trend Following
Daniel, Hirshleifer, Subrahmanyam1998Investor Psychology and Security Market Under- and OverreactionsJournal of FinanceBehavioral Finance
De Bondt, Thaler1985Does the Stock Market Overreact?Journal of FinanceBehavioral Finance
De Bondt, Thaler1987Further Evidence on Investor Overreaction and Stock Market SeasonalityJournal of FinanceBehavioral Finance
Dowd1999Too Big to Fail? Long-Term Capital ManagementCATO InstituteRisk, Finance History
Ellis1975The Loser's GameFinancial Analysts JournalStatistics, Betting
Erb, Harvey2006The Strategic and Tactical Value of Commodity FuturesFinancial Analysts JournalCommodities, Portfolio Management
Erb, Harvey2015Conquering Misperceptions about Commodity Futures InvestingFinancial Analysts JournalCommodities
Fama, French1992The Cross-Section of Expected Stock ReturnsJournal of FinanceEMH, CAPM
Fama, French1993Common Risk Factors in the Returns on Stocks and BondsJournal of Financial EconomicsEMH, CAPM
Frazzini, Kabiller, Pedersen2013Buffett’s AlphaFinancial Analysts JournalAlternative Beta, Value
Fuertes, Miffre, Fernandez-Perez2013Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic VolatilityJournal of Futures MarketsCommodities, Momentum, Term Structure
Fuertes, Miffre, Rallis2008Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure SignalsJournal of Banking & FinanceCommodities, Momentum, Term Structure
Fung, Hsieh2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend FollowersReview of Financial StudiesTrend Following
Geczy, Samonov2016Two Centuries of Price Return MomentumFinancial Analysts JournalTrend Following, Momentum
Gorton, Hayashi, Rouwenhorst2012The Fundamentals of Commodity Futures ReturnsReview of FinanceCommodity Futures
Gorton, Rouwenhorst2005Facts and Fantasies About Commodity FuturesFinancial Analysts JournalCommodity Futures
Granger, Harvey, Rattray, van Hemert2019Strategic RebalancingMan Group, Duke UniversityPortfolio Management
Griffin, Ji, Martin2005Global Momentum Strategies: A Portfolio PerspectiveJournal of Portfolio ManagementMomentum
Grinblatt, Han2005Prospect Theory, Mental Accounting, and MomentumJournal of Financial EconomicsBehavioral Finance, Momentum
Grinblatt, Moskowitz2004Predicting Stock Price Movements From Past Returns: The Role of Consistency and Tax-Loss SellingJournal of Financial EconomicsMomentum
Hamill, Rattray, van Hemert2016Trend Following: Equity and Bond Crisis AlphaMan AHLTrend Following
Harding1994Making Money from Mathematical ModelsPhilosophical Transactions: Physical Sciences and Engineering Systems Trading
Harding2016Efficient Market Theory – When Will It Die?Winton Capital ManagementEMT
Harvey, Liu2015BacktestingJournal of Portfolio ManagementBacktesting Quality
Hong, Stein1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset MarketsJournal of FinanceBehavioral Finance
Hurst, Johnson, Ooi2010Understanding Risk ParityAQR Capital ManagementAlternative Beta, Risk Parity
Hurst, Ooi, Pedersen2017A Century of Evidence on Trend-Following InvestingAQR Capital ManagementTrend Following
Hurst, Ooi, Pedersen2013Demystifying Managed FuturesJournal Of Investment ManagementTrend Following
Hutchinson, O'Brien2014Is This Time Different? Trend Following and Financial CrisesThe Journal of Alternative InvestmentsTrend Following
Jegadeesh1990Evidence of Predictable Behavior of Security ReturnsJournal of FinanceMomentum
Jegadeesh, Titman1993Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of FinanceMomentum
Jegadeesh, Titman2001Profitability of Momentum Strategies: An Evaluation of Alternative ExplanationsJournal of FinanceBehavioral Finance, Momentum
Jurek2009Crash-Neutral Currency Carry TradesJournal of Financial EconomicsFX Carry
Kelly1956A New Interpretation of Information RatePrinceton University, AT&TStatistics, Betting
Kim, Tse, Wald2015Time Series Momentum and Volatility ScalingJournal of Financial MarketsTrend Following, Volatility Control
Koijen, Moskowitz, Pedersen, Vrugt2015CarryUniversity of ChicagoAlternative Beta, Carry
Levine, Pedersen2015Which Trend Is Your Friend?Financial Analysts JournalTrend Following
McQuarrie2017Stock Market Charts You Never SawSanta Clara UniversityFinance History
Merton1973Theory of Rational Option PricingThe Bell Journal of Economics and Management ScienceOption Pricing
Moskowitz, Ooi, Pedersen2011Time Series MomentumChicago Booth Research PaperTrend Following
OstgaardN/AOn the Nature and Origin of Trend FollowingStig OstgaardTrend Following
Pukthuanthong, Levich, Thomas2007Do Foreign Exchange Markets Still Trend?Journal of Portfolio ManagementTrend Following
Rouwenhorst1998International Momentum StrategiesJournal of FinanceMomentum
Rouwenhorst_19991999Local return factors and turnover in emerging stock marketsJournal of FinanceMomentum
Sandberg, Öhman2014Position Sizing Methods for a Trend Following CTAKTH Industrial Engineering and ManagementTrend Following, Position Sizing Methods
Schneeweis, Kazemi, Spurgin2008Momentum in Asset Returns: Are Commodity Returns a Special Case?Journal of Alternative InvestmentsMomentum
Shen, Szakmary, Sharma2007An Examination of Momentum Strategies in Commodity Futures MarketsJournal of Futures MarketsMomentum
Shleifer, Vishny1997The Limits of ArbitrageJournal of FinanceBehavioral Finance
SiegristN/AHow to Gamble If You MustUniversity of AlabamaStatistics, Bet Sizing
Simon2015Trading the VIX Futures Roll and Volatility Premiums with VIX OptionsJournal of Futures MarketsVIX Futures and Options Strategies
Simon, Campasano2014The VIX Futures Basis: Evidence and Trading StrategiesJournal of DerivativesVXI, Volatility
Taleb2013No, Small Probabilities Are Not "Attractive to Sell": A CommentFinancial Analysts JournalTails
Tang, Xiong2010Index Investment and Financialization of CommoditiesTsinghua University, Princeton UniversityCommodity Futures, Indexation