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

  • 30 Jul 2013
  • By Imperial College

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.

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