Is this time different strongTrendstrong following and financial crises.pdf

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Is this time different strongTrendstrong following and financial crises.pdf

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Is this time different? Trend following and financial crises Mark C. Hutchinson Department of Accounting, Finance Information Systems and Centre for Investment Research University College Cork College Road, Cork, Ireland. Tel +353 21 490 2597 Email: m.hutchinson@ucc.ie John O’Brien Department of Accounting, Finance Information Systems and Centre for Investment Research University College Cork College Road, Cork, Ireland. Tel +353 21 490 1911 Email: j.obrien@ucc.ie This Version: February 2014 JEL Classifications: G10, G19 Keywords: Trend Following, Time Series Momentum, Financial Crisis, CTA The authors would like to thank Aspect Capital for financial support. The authors are also grateful to David F McCarthy for helpful comments and discussions. 1 Is this time different? Trend following and financial crises Abstract Following large positive returns in 2008, Commodity Trading Advisors (CTAs) received increased attention and allocations from institutional investors. Subsequent per