The Differences Between Time Series Momentum and Trend Following

In a market that everything is going up, you still have winners and losers. If an asset was going 90% of the time down and you're sorting it, you're going to make money. But if you were to do momentum as in buying winners and sorting losers, you only get positive returns when you have like a medium term look back window. Very, very short term windows will give you reversals which are more associated with value. So there are links but also significant difference among the two.

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