AQR Sees Reprieve Coming for Trend-Following Funds
- Poor returns during past 10 years reflect unusual market: AQR
- Firm expects larger market moves to make comeback eventually
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A pioneer of systematic trading sees large price swings returning to markets after a period of calm, paving the way for a return to profits for trend-following investors.
“The unusual lack of large moves across global markets during the current decade in the wake of the global financial crisis is the main driver of recent poor trend-following returns,” wrote AQR Capital Management LLC in a note Tuesday. “While we cannot for certain say when markets will exhibit sustained large moves, we expect that they eventually will, and that trend-following strategies will be able to profit from them accordingly.”