More Time Series Momentum…

Absolute momentum is a key factor in my latest momentum paper. Positive absolute momentum exists when an asset shows a positive excess return over the lookback period. Others call this time-series momentum. The more common momentum approach, which appears in most research papers, is relative (or cross-sectional) momentum, where one asset is compared to its…

Momentum Back Testing

In 1937,¬†Cowles and Jones¬†published the first study showing that relative strength price momentum leads to abnormally high future returns. Academics have been diligent in studying momentum further since it flies in the face of the efficient market hypothesis (EMH). EMH says you cannot beat the market using publicly available information. Hundreds of subsequent tests over…