Time series momentum: theory and practice

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dc.contributor.advisor Hutchinson, Mark en
dc.contributor.advisor Murphy, Ciaran en
dc.contributor.author O'Brien, John
dc.date.accessioned 2018-03-27T11:34:36Z
dc.date.available 2018-03-27T11:34:36Z
dc.date.issued 2017
dc.date.submitted 2017
dc.identifier.citation O'Brien, J. 2017. Time series momentum: theory and practice. PhD Thesis, University College Cork. en
dc.identifier.endpage 189 en
dc.identifier.uri http://hdl.handle.net/10468/5699
dc.description.abstract Time series momentum (TSM) is a significant component of many investment strategies, both explicitly and implicitly. While academic studies have confirmed long run excess return, other aspects of the strategy have received less attention. This research focuses on performance variations across economic conditions and on the return drivers of TSM and associated investment funds. The performance record is extend back to 1925, confirming long run performance and providing a large sample to analyse its relationship with economic conditions, with a number of links demonstrated. TSM underperforms for periods of up to four years immediately after financial crises, with returns at less than half the level of normal periods. A breakdown in market structure is associated with this. Serial auto-correlation of asset returns, found in all markets at horizons of up to twelve months, is absent in the years following a crisis. Further evidence links the strategy to the business cycle, demonstrating underperformance in periods of recession and high economic uncertainty. A decomposition of returns of individual asset into systematic (macro-economic factor related) and idiosyncratic components shows that TSM generates profits from both components. The exposure of TSM to economic factors can explain part of the excess returns in an efficient market/arbitrage pricing theory framework. The performance of the commodity trading advisor (CTA) sector, closely associated with TSM, is analysed using a sample of 3,419 CTAs. A novel methodology eliminates biases and generates a reliable performance index back to 1987. This exhibits consistent excess returns over the period. Eight different CTA sub-strategies identified, exposed to a variety of risk premia in addition to TSM. Explanatory power is low with less than half of the returns associated with risk exposure. Three of the eight sub-strategies (representing half the funds) show exposure to TSM, each generating a statistically significant Sharpe ratio. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher University College Cork en
dc.rights © 2017, John O'Brien. en
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/ en
dc.subject Time series momentum en
dc.subject CTA en
dc.subject Investment en
dc.subject Trend Following en
dc.subject Financial Crises en
dc.subject Strategy en
dc.title Time series momentum: theory and practice en
dc.type Doctoral thesis en
dc.type.qualificationlevel Doctoral en
dc.type.qualificationname PhD (Commerce) en
dc.internal.availability Full text available en
dc.check.info No embargo required en
dc.description.version Accepted Version
dc.description.status Not peer reviewed en
dc.internal.school Accounting and Finance en
dc.check.type No Embargo Required
dc.check.reason No embargo required en
dc.check.opt-out Not applicable en
dc.thesis.opt-out false
dc.check.embargoformat Not applicable en
ucc.workflow.supervisor m.hutchinson@ucc.ie
dc.internal.conferring Autumn 2017 en

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© 2017, John O'Brien. Except where otherwise noted, this item's license is described as © 2017, John O'Brien.
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