Time Series Momentum

62 Pages Posted: 23 Jun 2012

See all articles by Tobias J. Moskowitz

Tobias J. Moskowitz

AQR Capital; Yale University, Yale SOM; National Bureau of Economic Research (NBER)

Yao Hua Ooi

AQR Capital Management, LLC

Lasse Heje Pedersen

AQR Capital Management, LLC; Copenhagen Business School - Department of Finance; New York University (NYU); Centre for Economic Policy Research (CEPR)

Date Written: September 1, 2011

Abstract

We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for 1 to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities of speculators and hedgers, we find that speculators profit from time series momentum at the expense of hedgers.

Suggested Citation

Moskowitz, Tobias J. and Moskowitz, Tobias J. and Ooi, Yao Hua and Pedersen, Lasse Heje, Time Series Momentum (September 1, 2011). Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=2089463 or http://dx.doi.org/10.2139/ssrn.2089463

Tobias J. Moskowitz (Contact Author)

AQR Capital ( email )

Greenwich, CT
United States

Yale University, Yale SOM ( email )

493 College St
New Haven, CT CT 06520
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HOME PAGE: http://som.yale.edu/tobias-j-moskowitz

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yao Hua Ooi

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Lasse Heje Pedersen

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Copenhagen Business School - Department of Finance ( email )

Solbjerg Plads 3
Frederiksberg, DK-2000
Denmark

New York University (NYU) ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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