JMF Capstone Wealth ManagementTrend Following Works Weakest After Crises – JMF Capstone Wealth Management https://www.jmfcapstone.com An Alabama registered investment advisor Fri, 21 Nov 2025 19:30:19 +0000 en-US hourly 1 https://wordpress.org/?v=5.1.22 Trend Following Works Weakest After Crises https://www.jmfcapstone.com/2016/09/19/trend-following-works-weakest-crises/ https://www.jmfcapstone.com/2016/09/19/trend-following-works-weakest-crises/#respond Mon, 19 Sep 2016 09:00:55 +0000 http://evolvemypractice.com/?p=3125 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...

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]]> 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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