The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with Yao Hua Ooi from AQR Capital Management.
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Click on this link to hear the Podcast
Yao Hua Ooi is a Principal at AQR Capital Management and one of the most cited researchers in the systematic trend following space. He is co-author of the landmark 2012 paper “Time Series Momentum,” published in the Journal of Financial Economics with Tobias Moskowitz and Lasse Pedersen. That paper documented statistically significant directional persistence across 58 futures and forward contracts spanning equities, currencies, commodities, and bonds over more than 25 years of data. It gave the academic community a formal empirical foundation for what practitioners had known for decades: that markets trend, and that a diversified systematic strategy to capture those trends carries genuine positive expected value.
Ooi subsequently co-authored “A Century of Evidence on Trend-Following Investing,” which extended the research back to 1880, finding that time series momentum delivered positive average returns in each decade over that period and performed well in eight of the ten largest crisis periods defined over the century.
In this conversation with Niels and Alan, Ooi brings the AQR research perspective to bear on the practical questions that matter most to allocators: what drives the trend premium, how it behaves across different macro environments, and what the evidence suggests about its persistence going forward. His presence in the TTU Miniseries reflects the importance of bridging the practitioner and academic communities, a connection that has been central to the maturation of systematic trend following as an institutional asset class.
Related reading: Read: The Birth of Trends: The Counterintuitive Role of Noise