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.
By utilizing historical simulations that capture the autocorrelation inherent in trend-following strategies, Miller examines portfolio performance across various market conditions.
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).
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.
The authors aim to enhance the understanding and implementation of these strategies by examining the impact of volatility estimation methods, trading rule designs, and the role of asset correlations.