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The Trend Is Your Friend: Time-Series Momentum Strategies Across Equity and Commodity Markets

Forthcoming, Review of Finance

48 Pages Posted: 15 Jun 2015 Last revised: 20 Jun 2016

Athina Athina Georgopoulou

SEI Investments

George Jiaguo Wang

Manchester Business School; New York University - Stern School of Business

Date Written: May 8, 2016

Abstract

This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the case when controlling for the currency component. We further demonstrate that time-series momentum captures a significant proportion of international mutual fund performance, but this is predominantly with respect to its long aspect. Finally, the market interventions by central banks in recent years have distorted correlations across assets; this challenges the performance of such portfolios.

Keywords: Return Predictability, Momentum, International Mutual Funds, Market Efficiency, International Financial Markets

JEL Classification: G12, G13, G15, G23, G11

Suggested Citation

Athina Georgopoulou, Athina and Wang, George Jiaguo, The Trend Is Your Friend: Time-Series Momentum Strategies Across Equity and Commodity Markets (May 8, 2016). Forthcoming, Review of Finance. Available at SSRN: https://ssrn.com/abstract=2618243 or http://dx.doi.org/10.2139/ssrn.2618243

Athina Athina Georgopoulou

SEI Investments ( email )

Oaks, PA
United States

George Jiaguo Wang (Contact Author)

Manchester Business School

Crawford House
Oxford Road
Manchester, M15 6PB
United Kingdom
+447516389968 (Phone)

HOME PAGE: http://www.mbs.ac.uk/research/people/profiles/gwang

New York University - Stern School of Business ( email )

44 West 4th Street
New York, NY NY 10012
United States

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