Managed futures funds are predominantly trend-followers. By analyzing positioning data, we
provide novel evidence for this claim and estimate signals applied by these funds. We write …

Purpose This research study aims to design a novel risk-managed time-series momentum
approach. The present study also examines the time-series momentum effect in the Indian …

Since the discovery of momentum effect, people have started the journey of using the
momentum effect to construct momentum strategies. As a result of coupling cross-sectional …

This paper presents a portfolio construction approach that combines the hierarchical
clustering of a large asset universe with the stock price momentum. On the one hand …

This paper presents a portfolio construction approach that combines the hierarchical
clustering of a large asset universe with the stock price momentum. On the one hand …

Abstract Machine Learning algorithms have been widely used and proven effective in
financial markets. In this paper, we introduced a Machine Learning model set trained on the …

Momentum trading strategies have been noted as the principal market anomaly that has the
potential to successfully predict future market prices. Momentum trading strategies have …