Browsing: time-series momentum

Posts Tagged ‘ time-series momentum ’

What’s the Difference Between Momentum and Trend Following?

Jul 29th, 2020 | Filed under: Newly Added, Alpha Strategies, Hedge Funds

By Alex Botte, CFA, CAIA, Vice President, Two Sigma At the end of 2019, Two Sigma’s Venn platform added three new macro style factors to its risk model, the Two Sigma Factor Lens: Fixed Income Carry, Foreign Exchange Carry, and Trend Following. The first two factors are meant to capture anRead More

Time-series Momentum: Venerability, Vulnerability and Scholarship

Oct 7th, 2015 | Filed under: Financial Economics Theory, Finance & Economics

Baltas and Kosowski begin a recent paper with the observation that time-series momentum strategies have compiled an unsatisfactory record in the years since the global financial crisis. They ask why, and suggest how the strategies can be re-jiggered to improve performance. Read More