Momentum Turning Points

98 Pages Posted: 5 Dec 2019 Last revised: 23 May 2023

See all articles by Christian L. Goulding

Christian L. Goulding

Auburn University - Harbert College of Business

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Michele G. Mazzoleni


Date Written: May 23, 2023


Turning points are the Achilles' heel of time-series momentum portfolios. Slow signals fail to react quickly to changes in trend while fast signals are often false alarms. We analyze how momentum portfolios of various intermediate speeds, formed by blending slow and fast strategies, handle turning points. We find that the intersection of slow and fast signal directions possesses predictive information, including predictably negative returns when both signals are negative. We propose a novel decomposition of momentum strategy alpha, highlighting the role of volatility timing; and a mean-variance optimal dynamic speed-selection strategy with efficient out-of-sample performance across international equity markets.

Journal of Financial Economics, forthcoming.

This version includes the Internet Appendix.

Keywords: time-series momentum, volatility timing, market timing, asset pricing, trend following, turning points, momentum speed, mean reversion, behavioral finance

JEL Classification: G12, G13

Suggested Citation

Goulding, Christian L. and Harvey, Campbell R. and Mazzoleni, Michele, Momentum Turning Points (May 23, 2023). Available at SSRN: or

Christian L. Goulding

Auburn University - Harbert College of Business ( email )

Auburn, AL 36849
United States

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)


National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Michele Mazzoleni

STRS Ohio ( email )

United States

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