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
Accepted author manuscript, 424 KB, PDF document
Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - The Trend Is Your Friend
T2 - Time-Series Momentum Strategies across Equity and Commodity Markets
AU - Georgopoulou, Athina
AU - Wang, Jiaguo (George)
N1 - 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
PY - 2017/7/1
Y1 - 2017/7/1
N2 - 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.
AB - 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.
U2 - 10.1093/rof/rfw048
DO - 10.1093/rof/rfw048
M3 - Journal article
VL - 21
SP - 1557
EP - 1592
JO - Review of Finance
JF - Review of Finance
SN - 1572-3097
IS - 4
ER -