Time-Series Momentum Effect
In each futures market, go long if that market’s own trailing return is positive and short if negative — TSMOM, not cross-sectional rank.
Definition
For each liquid future, sign(past 1–12m excess return) × a vol-scaled weight. Average across assets. You can be long everything or short everything. That is the difference from cross-sectional momentum.
Why it matters
It is the academic name for a lot of managed-futures trend. Crisis convexity is the selling point.
Case
2008 and 2022: many markets trend down or rates trend up; TSMOM is long the trend and prints. 2023 chop: it gives it back.
How to read it
Lookback, vol target, and universe. Report the 2010s chop, not only 2008. Cross-sectional mom is a different book.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Time Series MomentumMoskowitz, Ooi, Pedersen · 2012 · Journal of Financial EconomicsThe TSMOM paper.