Browsing by Author "Majoni, Guido"
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- Enhanced time-series momentum strategies in alternative asset classes : evidence from commodities and currencies in the global marketPublication . Majoni, Guido; Barroso, Pedro Monteiro e SilvaAn investor can diversify risk by investing in a leveraged time-series momentum portfolio. The study evaluates and compares the performance of risk-adjusted time-series momentum strategies proposed in the literature. Focusing on international contracts of commodities and currencies, managing the sign of the position by accounting for partial moments rather than a market-timing or solely volatility-timing leverage offers the highest Sharpe ratio. Enhancing time-series momentum in both sign and volatility-timing yields positive excess returns net of transaction costs, and extends, ex-post, the efficient frontier with a significant diversification benefit. However, the net profitability of systematic time-series momentum strategies has been low since the COVID-19 pandemic.