The passive investment boom and its consequences
Passive investment vehicles have been expanding rapidly over the past 10 years, with assets reaching about USD8 trillion or 20% of aggregate investment funds...
Passive investment vehicles and price distortions
The share of passive investment vehicles in financial markets has soared over the past 20 years. In the U.S. equity market it has risen...
Trend following and the headwinds of rising yields
The decline in bond yields over the past decades has supported profitability and diversification value of trend followers. Returns have been boosted by a...
RECENT ARTICLES
Estimating the positioning of trend followers
There is a simple method of approximating trend follower positioning in real-time and without lag. It is based on normalized returns in liquid futures...
Forecasting energy markets with macro data
Recent academic papers illustrate how macroeconomic data support predictions of energy market flows and prices. Valid macro indicators include shipping costs, industrial production measures,...
Fundamental trend following
Fundamental trend following uses moving averages of past fundamental data, such as valuation metrics or economic indicators, to predict future fundamentals, analogously to the...