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Eddie Cheng, Nazar Kostyuchyk, Wai Lee, Pai Liu and Chenfei Ma
The Journal of Portfolio Management February 2022, jpm.2021.1.312; DOI: https://doi.org/10.3905/jpm.2021.1.312
Eddie Cheng
is the head of international portfolio management at Multi-Asset Solutions of Allspring Global Investments in London, UK
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Nazar Kostyuchyk
is a portfolio analyst at Multi-Asset Solutions of Allspring Global Investments in London, UK
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Wai Lee
is the global head of research at Multi-Asset Solutions of Allspring Global Investments in London, UK
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Pai Liu
is a research analyst at Multi-Asset Solutions of Allspring Global Investments in San Francisco, CA
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Chenfei Ma
is a portfolio manager at Multi-Asset Solutions of Allspring Global Investments in London, UK
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Abstract

This article develops a methodology to combine fast and slow time-series momentum signals using machine learning techniques based on market volatility. Starting with the US equity market, the authors find that the performance of a time-series momentum strategy is determined by both its responsiveness and the market volatility regime, among other factors. A decision tree gives a simple and insightful way to determine the threshold in characterizing low- and high-volatility regimes. A slow time-series momentum strategy tends to outperform a fast time-series momentum strategy when market volatility is low. The opposite tends to occur when volatility is high. This pattern of relative performance can be attributed to market-timing alpha and exists in most global equity markets, including both developed and emerging markets.

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The Journal of Portfolio Management: 49 (4)
The Journal of Portfolio Management
Vol. 49, Issue 4
Multi-Asset Special Issue 2023
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Trending Fast and Slow
Eddie Cheng, Nazar Kostyuchyk, Wai Lee, Pai Liu, Chenfei Ma
The Journal of Portfolio Management Dec 2021, jpm.2021.1.312; DOI: 10.3905/jpm.2021.1.312

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Trending Fast and Slow
Eddie Cheng, Nazar Kostyuchyk, Wai Lee, Pai Liu, Chenfei Ma
The Journal of Portfolio Management Dec 2021, jpm.2021.1.312; DOI: 10.3905/jpm.2021.1.312
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    • MOMENTUM SPEED WITH MARKET REGIME
    • APPLICATION TO A BROADER EQUITY UNIVERSE
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