Time Series Momentum and Reversal: Intraday Information From Realized Semivariance
54 Pages Posted: 22 May 2020 Last revised: 10 Oct 2022
Date Written: October 9, 2022
The presence of time series momentum has been widely documented in ﬁnancial markets across asset classes and countries. In this study, we ﬁnd a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this ﬁnding, we propose a rule-based time series momentum strategy that has a statistically signiﬁcant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.
Keywords: Commodity Futures Pricing, Time Series Momentum, Momentum Reversal, Realized Semivariance, High-frequency Data
JEL Classification: G12, G17
Suggested Citation: Suggested Citation