Decomposing Cross-Asset Time Series Momentum

15 Pages Posted: 2 Dec 2020 Last revised: 8 Sep 2021

Date Written: October 19, 2020

Abstract

I decompose the expected return difference between cross-asset time series momentum and time series momentum into market timing and risk premium components, and show that market timing accounts for 71–79% of the difference. I thus show that two recent critiques of time series momentum do not apply to cross-asset time series momentum. Instead, the outperformance of cross-asset time series momentum is driven specifically by the strategy's ability to exploit cross-asset time series predictability in global bond and equity markets.

Keywords: asset pricing, cross-asset time series momentum, time series momentum, momentum decomposition

JEL Classification: G12, G15, G17, F37

Suggested Citation

Pitkäjärvi, Aleksi, Decomposing Cross-Asset Time Series Momentum (October 19, 2020). Available at SSRN: https://ssrn.com/abstract=3714611 or http://dx.doi.org/10.2139/ssrn.3714611

Aleksi Pitkäjärvi (Contact Author)

Aalto University School of Business ( email )

P.O. Box 21210
Helsinki, 00101
Finland

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