Summary
Published in the Journal of Financial Economics, this paper documents “time series momentum” in equity index, currency, commodity and bond futures: past returns over one to 12 months tend to persist.
A diversified portfolio of these strategies earns substantial returns with little exposure to standard risk factors, and does best in extreme markets. The authors also show speculators profit from trends at the expense of hedgers.
Source
- Title
- Time Series Momentum
- Author
- Tobias J. Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen
- Year
- 2012
- Published by
- Journal of Financial Economics
- Length
- 23 pages
- File
- PDF · 982 KB