Enhanced time-series momentum strategies in alternative asset classes

: evidence from commodities and currencies in the global market

Abstract

An investor can diversify risk by investing in a leveraged time-series momentum portfolio. The study evaluates and compares the performance of risk-adjusted time-series momentum strategies proposed in the literature. Focusing on international contracts of commodities and currencies, managing the sign of the position by accounting for partial moments rather than a market-timing or solely volatility-timing leverage offers the highest Sharpe ratio. Enhancing time-series momentum in both sign and volatility-timing yields positive excess returns net of transaction costs, and extends, ex-post, the efficient frontier with a significant diversification benefit. However, the net profitability of systematic time-series momentum strategies has been low since the COVID-19pandemic.

Date of Award	25 Jan 2023
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Barroso (Supervisor)