Authors of Time Series Momentum (2012)

Moskowitz, Ooi & Pedersen

Tobias Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen documented time-series momentum in the Journal of Financial Economics in 2012: an asset's own past 12-month excess return predicts its next month, across equity, bond, currency and commodity futures.

What they argue

Trends persist: assets that rose over the last year tend to keep rising in the near term, then partly reverse over longer horizons.
A diversified time-series momentum portfolio performed best in extreme markets.

Sources

Time Series Momentum (AQR library)Time Series Momentum (SSRN)

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

Time Series Momentum, Journal of Financial Economics 104(2) (2012)
Efficiently Inefficient (Lasse Heje Pedersen) (2015)

The full reading list

Time-series momentum (12-month)

Rule and full record

Momentum · month-end

Hold the asset while its return over the last 12 months beats Treasury bills. Otherwise sit in bills.

Calls right35%8,725 closed calls on 377 stocks.

Beat buy and hold (Sharpe)123 of 373On raw return: 99 of 373.

In right now231 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

CRWVOUT BSXOUT ARISIN BYDOUT NFIIN PYPLOUT TOUT AP.UNOUT PSKIN PEYIN HTZOUT AQNOUT All 377 stocks →