Research

Our Investment Committee members regularly produce interesting and informative research papers that you can read by clicking on the links below.

 

Trend Following, Risk Parity and Momentum in Commodity Futures

Download here (pdf 383KB)

Steve Thomas, Andrew Clare, James Seaton, Peter Smith

This paper shows how a combination of momentum and trend following strategies for individual commodity futures can lead to portfolios that offer attractive risk adjusted returns that are superior to simple momentum strategies.

 

Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P500

Download here (pdf 151KB)

Steve Thomas, Andrew Clare, James Seaton, Peter Smith

This document compares a variety of technical trading rules that could be used to invest in the S&P500 index.

 

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Download here (pdf 671KB)

Steve Thomas, Andrew Clare, James Seaton, Peter Smith

In this report, the professors examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate.

www.Fullertreacymoney.com

You can follow Eoin's insightful research at his website above or read a copy of his excellent book on behavioural and technical analysis: http://www.harriman-house.com/book/view/483/trading/eoin-treacy/crowd-money/