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Results for “TSMOM” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2023
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however, relies not only on the quality of the momentum signal but also on the efficacy of the volatility estimator. Yet many of the existing studies have always considered these two factors…
Joel Ong, Dorien Herremans
arXiv · arXiv q-fin · 2021
Momentum strategies are an important part of alternative investments and are at the heart of commodity trading advisors (CTAs). These strategies have, however, been found to have difficulties adjusting to rapid changes in market conditions, such as during the 2020 market crash. In particular, immediately after momentum turning points, where a trend reverses from an uptrend (downtrend) to a downtrend (uptrend), time-s…
Kieran Wood, Stephen Roberts, Stefan Zohren
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