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August 14, 2020

Cross-Asset Signals and Time-Series Momentum

In this article, the author reviews the paper “Time Series Momentum,” by Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen, which documents significant time-series momentum (trend) in equity index, currency, commodity and bond futures. Aleksi Pitkäjärvi, Matti Suominen, and Lauri Vaittinen contribute to the literature on time-series momentum with the February 2019 study “Cross-Asset Signals and Time Series Momentum.

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