Intrinsic Momentum in International Equity and Commodity Indexes
July 9, 2015 - Momentum Investing
Is time series (intrinsic or absolute) momentum evident in international stock indexes and commodity indexes? In the June 2015 version of their paper entitled “The Trend is Your Friend: Time-Series Momentum Strategies Across Equity and Commodity Markets”, Athina Georgopoulou and George Wang test intrinsic momentum trading strategies that are each month long (short) equally weighted indexes with a… Keep Reading