Contra "Time Series Momentum: Is It There?"

Summary Time series momentum (TSMOM) is an investment strategy that involves buying assets whose prices are trending upward and shorting assets that have a downward trend. In 2012, Moskowitz, Ooi & Pedersen published Time Series Momentum 1 . They analyzed a simple version of the strategy that buys assets with positive 12-month returns and shorts assets with negative 12-month returns. They found…