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, 2020Managed Futures
PanAgora’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.