There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen “Time Series Momentum” paper (some background here).

ts paper

The paper is behind a paywall, but luckily there is a 4 part lecture by the authors explaining the key results:

Bottomline: After controlling for volatility weighting,  time series momentum isn’t that interesting…according to this paper…

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