# TSeries Momentum - technical papers


## 2010 [Time series momentum](http://docs.lhpedersen.com/TimeSeriesMomentum.pdf) Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen

https://www.aqr.com/Insights/Research/Journal-Article/Time-Series-Momentum


## 2013 Baltas [Momentum Strategies in Futures Markets and Trend-following Funds](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1968996)

- 2013 [Trend Following, Risk Parity and Momentum in Commodity Futures](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2126813) Steve Cohen

- Alternative Risk Premia: What Do We Know?⏎ Thierry Roncalli, Quantitative Research - Amundi

- 2012 [Trend Following, Risk Parity and Momentum in Commodity Futures](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2126813) Andrew Clare
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**Overall this leads to an attractive strategy for investing in commodity futures and emphasises the importance of trend following** as an investment strategy in the commodity futures context⏎
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## AQR

- https://www.aqr.com/Insights/Research/Journal-Article/Demystifying-Managed-Futures

https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing

- 2019  https://www.aqr.com/Insights/Research/Journal-Article/You-Cant-Always-Trend-When-You-Want

Our findings suggest that the lower returns in the current decade are due to **fewer large moves across markets over this time period**, as opposed to a decline in the strategy’s ability to profit from trends


## 2022 JP Bouchaud [The persistence of medium-term Trend Following (or “momentum”) is one of the most scathing indictment of the Efficient Market Hypothesis](https://www.linkedin.com/posts/jean-philippe-bouchaud-bb08a15_insightdataclarity-activity-6941440845455745024-4XdZ/?utm_source=linkedin_share&utm_medium=ios_app)

https://www.cfm.fr/assets/Uploads/Insights/A-Good-Time-for-Trend-Following-FINAL.pdf

- [Trend followers lose more often than they gain](https://wilmott.com/wp-content/uploads/2016/07/110524_trend.pdf)

Total time of staying in the winning trade for trend-follower even without autocorrelation.
Even with average PnL is equal to zero, winning probability is less than $50\%$ but the gain amount is significantly higher.

More interesting is to generalise Kelly criterion for time-series with autocorrelation
https://en.wikipedia.org/wiki/Kelly_criterion



# Parents

* Momentum Strategy