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
Date Written: May 8, 2016
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: Suggested Citation