When Is The Trend Your Friend? Understanding Momentum Across Macro Markets
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In this report we examine how a variety of momentum strategies perform for different assets using moving average rules ranging from 1 day to 200 days. We find that mean-reversion strategies work best for equities and bonds, while trend-following strategies work best for commodities and, to a lesser extent, currencies.
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BCA Research | CoreMacro
BCA’s flagship global macro and investment strategy platform, helping investors anticipate regime shifts, connect signals across regions and asset classes, and navigate the world’s most difficult macro questions.
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