Trend Following Works Weakest After Crises
Time-series momentum examines the trend of an asset with respect to its own past performance. This is different than cross-sectional momentum (often referred to as Carhart momentum), which compares the performance of an asset with respect to the performance of another asset.
Research into time-series momentum has found it to be persistent across both time and economic regimes, as well as pervasive across asset classes. It’s also been found to be robust to various definitions. Additionally, it has been shown to be implementable, with little to no evidence of significant capacity constraints.
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