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

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The Trend Is Your Friend : Time-Series Momentum Strategies across Equity and Commodity Markets. / Georgopoulou, Athina; Wang, Jiaguo (George).

In: Review of Finance, Vol. 21, No. 4, 01.07.2017, p. 1557-1592.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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APA

Vancouver

Georgopoulou A, Wang J. The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets. Review of Finance. 2017 Jul 1;21(4):1557-1592. Epub 2016 Oct 12. doi: 10.1093/rof/rfw048

Author

Georgopoulou, Athina ; Wang, Jiaguo (George). / The Trend Is Your Friend : Time-Series Momentum Strategies across Equity and Commodity Markets. In: Review of Finance. 2017 ; Vol. 21, No. 4. pp. 1557-1592.

Bibtex

@article{463a1edefa6947de88badcde9b809b9b,
title = "The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets",
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.",
author = "Athina Georgopoulou and Wang, {Jiaguo (George)}",
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",
year = "2017",
month = jul,
day = "1",
doi = "10.1093/rof/rfw048",
language = "English",
volume = "21",
pages = "1557--1592",
journal = "Review of Finance",
issn = "1572-3097",
publisher = "Oxford University Press",
number = "4",

}

RIS

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 -