Alternative Investing

Time Series Momentum: Original Paper Data

Topics - Alternative Investing Trend Following

${ numberSection } ${ text }
Time Series Momentum: Original Paper Data

This data set is related to “Time Series Momentum” (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset pricing anomaly we term “time series momentum,” which we find to be consistent across different asset classes and markets. Specifically, we find strong positive predictability from a security’s own past returns for a set of 58 diverse futures and forward contracts that include country equity indices, currencies, commodities and sovereign bonds over more than 25 years of data. We find that the past 12-month excess return of each instrument is a positive predictor of its future return. This time series momentum or “trend” effect persists for about a year and then partially reverses over longer horizons. These findings are robust across a number of sub-samples, look-back periods and holding periods. We find that 12-month time series momentum profits are positive not just on average across these assets, but for every asset contract we examine.

This is the original data set used by Moskowitz, Ooi and Pedersen (2012), with monthly long/short Time Series Momentum (TSMOM) factors from January 1985 through December 2009. Factors are based on a 12-month time series momentum strategy with a 1-month holding period for equity indices, currencies, commodities and developed government bond futures based on 58 underlying liquid instruments.


The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.


The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.


This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.


Past performance is no guarantee of future results.


Certain publications may have been written prior to the author being an employee of AQR.