We investigate the relationship between size and momentum across a wide range of international equity markets. A distinction is made between relative momentum where assets are ranked according to their performance against each other, and absolute momentum (or trend following) where assets are...

We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...

Recent research has confirmed the behaviour of traders that significant excess returns can be achieved from following the predictions of the carry trade which involves buying currencies with relatively high short-term interest rates, or equivalently a high forward premium, and selling those with...