Time-series residual momentum strategies

초록

We find that the conventional time-series momentum strategy can be revised in two ways to deliver enhanced excess return performance that are reminiscent of the advancements for the cross-sectional momentum strategy. First, we explore the applicability of the residual return for time-series momentum and find that it opens a door for constructing new improved time-series momentum strategies. Second, we examine the pertinence of the auto-covariance property of returns, which is the defining characteristic of time-series momentum, for asset allocation which has almost universally been identified with the equal-weighted one in the literature. We discover that consistent and persistent performance enhancements are earned by both approaches for the industry portfolios.

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