Time Series Momentum, or TSMOM, is a market anomaly that captures strong positive predictability from a security’s own past returns. That is, if the past returns are positive, they will continue to be positive and vice versa 1.
This is related to, however, different from “momentum” in finance literature, which refers to the cross-sectional performance comparison of a security from its peers, where securities that have out performed their peers in the past three to twelve months, will continue to do so on an average. TSMOM, focuses primarily on the security’s own returns
Moskowitz, Ooi and Pedersen (2011) have already documented the returns of more than 60 continuous futures contracts in Equity Indexes, Commodities, FX and Fixed Income. This data is provided in their paper referenced below. However, we follow a similar methodology to document our returns for the most liquid ETFs in the US markets and equities in the Indian Markets chosen from NSE 500 index.
The following links provide more information on the Methodology for TSMOM and the strategies within different products in different markets.
Footnotes
Moskowitz T., Ooi Y., Pedersen L., Time series momentum, Journal of Financial Economics, Volume 104, Issue 2, 2012, Pages 228-250,`