Trend Following & Rising Rates

  • 31 May 2015
  • By AQR Capital Management

We examine the performance of a simple trend-following strategy to illustrate how rising interest rates can produce exploitable trends. To show the effectiveness of these exploitable trends, we apply the simple trend-following strategy in a variety of hypothetical historical situations. Given its ability to go both long and short in a variety of asset classes, we believe that trend following could potentially offer a diversifying return stream regardless of the interest rates' direction.

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