Norges Bank Investment Management (NBIM) published a Discussion Note today where we survey the academic literature and provide empirical evidence related to time-series momentum strategies which appear robust across different futures markets.
Empirical evidence in the academic literature suggests that adding foreign exchange investment styles (value, momentum and carry) to portfolios consisting of global equities and bonds yields diversification benefits. This implies that traditional long-term investors who overlay their portfolios with trend-following strategies may improve their risk-return profile.
This note aims to provide an overview of the characteristics and behaviour of trend following strategies to better understand their drivers.