Improving Time-Series Momentum Strategies: The Role of Volatility Estimators and Trading Signals

The aim of this paper is to examine the effect of risk-weighting and of the choice of trading signal on the performance of time series momentum strategies using a broad dataset of 75 futures contracts over the period 1974 - 2013.Time-series momentum strategies have received increased attention after they provided again, as in previous business cycle downturns, impressive diversification benefits during the recent financial crisis in 2008.

More in Factors / Risk Premia


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.