Time series momentum

Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen · 2012 · Journal of Financial Economics

BeginnerLFTEmpiricalFree to read

An asset's own past 12-month return predicts its next return across dozens of futures markets. The academic basis of trend following.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Factors & momentum
Assets: Futures, Multi-asset
Market: Global

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Low-frequency factors and momentum

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Cite

@article{moskowitz2012time,
  author = {Moskowitz, Tobias J. and Ooi, Yao Hua and Pedersen, Lasse Heje},
  title = {{Time series momentum}},
  journal = {Journal of Financial Economics},
  year = {2012},
  doi = {10.1016/j.jfineco.2011.11.003}
}

Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.11.003