Decomposing Time Series Momentum
In this paper, the author connects the two well-documented momentum effects in financial markets, time-series momentum (TSMOM, aka trend-following) and cross-sectional momentum (...
June 11, 2020PanAgora’s Managed Futures strategy utilizes a rules-based, trend-following algorithm and a risk-based portfolio construction approach, in order to efficiently harvest Trend Premia across Commodity, Equity Index, Sovereign Bond and Currency markets, in seeking to provide downside protection during market crises.
In this paper, the author connects the two well-documented momentum effects in financial markets, time-series momentum (TSMOM, aka trend-following) and cross-sectional momentum (...
June 11, 2020Kun Yang, Edward Qian and Bryan Belton’s paper, “Protecting the Downside of Trend When It Is Not Your Friend,” was published ...
July 16, 2019