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  • The_Trend_is_Your_Friend_Time_Series_Momentum_Strategies_Across_Equity_and_Commodity_Markets

    Rights statement: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The definitive publisher-authenticated version Athina Georgopoulou, Jiaguo (George) Wang; The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets, Review of Finance, Volume 21, Issue 4, 1 July 2017, Pages 1557–1592, https://doi.org/10.1093/rof/rfw048 is available online at: https://academic.oup.com/rof/article/21/4/1557/2338176

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    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>1/07/2017
<mark>Journal</mark>Review of Finance
Issue number4
Volume21
Number of pages36
Pages (from-to)1557-1592
Publication statusPublished
Early online date12/10/16
Original languageEnglish

Abstract

This article documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the case when controlling for the currency component. We further demonstrate that time-series momentum captures a significant proportion of international mutual fund performance, but this is predominantly with respect to its long aspect. Finally, the market interventions by central banks in recent years have distorted correlations across assets; this challenges the performance of such portfolios.

Bibliographic note

This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The definitive publisher-authenticated version Athina Georgopoulou, Jiaguo (George) Wang; The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets, Review of Finance, Volume 21, Issue 4, 1 July 2017, Pages 1557–1592, https://doi.org/10.1093/rof/rfw048 is available online at: https://academic.oup.com/rof/article/21/4/1557/2338176