Macro Insights/Reports: Momentum Signals

TSMOM

Hey everyone,

If you have read any of the educational articles (link), you know I have touched on the importance of momentum. Momentum functions differently across different assets during different macro regimes.

If you want a simple intro, check out this paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3489539

You can also check out strategic risk management to begin optimizing your lookback periods for momentum: https://www.amazon.com/Strategic-Risk-Management-Designing-Portfolios/dp/1119773911/ref=sr_1_1?crid=3OCK91IXSD16O&keywords=strategic+risk+management&qid=1698950388&sprefix=strategic+risk+manag%2Caps%2C167&sr=8-1

Momentum has a very simple presupposition: What is currently happening will continue to happen.

Is this presupposition wrong? Well, it depends on the timing and drivers of momentum. This gets into a lot of the causal mechanics of the system and WHY things work the way they do. I won’t dive into those specifics today but let’s go through some charts and map momentum regimes.