Time Series Momentum
In their groundbreaking 2012 study, “Time Series Momentum,” Moskowitz, Ooi, and Pedersen challenge the efficient market hypothesis by revealing a persistent phenomenon in asset returns.
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.
Explaining Momentum Strategies Using Intrinsic Price Fluctuations
The momentum effect, where stocks that have performed well recently tend to continue performing well and vice versa, is a cornerstone of quantitative finance.