Time Series Momentum and Macroeconomic Risk
In their paper “Time Series Momentum and Macroeconomic Risk,” the authors delve into the intricate relationship between time series momentum returns and the macroeconomic environment.
Return Signal Momentum
Incorporating Return Signal Momentum into a return stacked portfolio can enhance overall performance through increased cumulative net profits and reduced maximum drawdowns.
A Half Century of Macro Momentum
A central finding of the paper is the macro momentum strategy’s robust performance over nearly five decades, encompassing varied economic environments such as recessions, wars, stagflation, and significant interest rate shifts.
Using Trend-Following Managed Futures to Increase Expected Withdrawal Rates
By utilizing historical simulations that capture the autocorrelation inherent in trend-following strategies, Miller examines portfolio performance across various market conditions.
Momentum Strategies in Futures Markets and Trend-following Funds
In their working paper, Akindynos-Nikolaos Baltas and Robert Kosowski delve into the intricacies of time-series momentum in futures markets and its relationship with Commodity Trading Advisors (CTAs).