Cross-Asset Time-Series Momentum Strategy : A New Perspective

We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases profitability substantially in the stock market and avoids momentum collapse effectively. We also document that its profitability is driven by the predictive power of the industrial metal assets’ past signals. Even after considering market exposure, the I-XTSM presents a superior performance and explains the excess profits of other momentum strategies