Momentum Strategy

Two centuries of trend following Y. Lempérière, C. Deremble, P. Seager, M. Potters, J. P. Bouchaud

short paper Tail Risk Premia vs. Pure Alpha

• 2013 Demystifying Managed Futures Hurst, Pedersen - AQR

A Century of Evidence on Trend-Following Investing

articles

• 2015 - Gary Antonacci - Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

• 2018 Modeling Momentum and Reversals - Harvey J. Stein

https://www.olivermsa.com/msa-methodology.html

• Richard Martin 2021 Design and analysis of momentum trading strategies

• 2013 EDHEC Momentum Strategies in Futures Markets and Trend-Following Funds

2011 Trend Filtering Methods for Momentum Strategies

• 2016 The Trend is Your Friend: Time-series Momentum Strategies across Equity and Commodity Markets

• 2013 Time Series Momentum Trading Strategy and Autocorrelation Amplification K. J. Hong and S. Satchell

Robert Engle Dynamic Conditional Beta is Alive and Well

RIGHT-WAY RISK!!!! SEE my paper

The Factor Archives: Momentum

The Factor Archives: Momentum What Works on Wall Street Podcast

Factor momentum Rob Arnott Mark Clements Vitali Kalesnik Juhani Linnainmaa†