Demystifying Time-Series Momentum Strategies

  • 8 May 2017
  • By Imperial College

This paper examines portfolio turnover implications of the volatility estimator and the trading rule, which are two key components of a time series momentum strategy. When both of these components are more efficient, portfolio turnover decreases, which reduces rebalancing costs. In response to the poor performance of time series momentum strategies after 2008, this paper proposes a new method of protecting against tail risk.

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