Momentum in multi-asset
11 papers on momentum in multi-asset as a systematic trading strategy. Momentum papers on several asset classes at once: 11 of the 289 in momentum and trend following. 7 name a method, most often linear factor models (3). The most cited is Momentum in Futures Markets (2005).
Papers112005–2026
Share of the family4 %11 of 289
| cited by | method | ||
|---|---|---|---|
| Momentum in Futures Markets by Pirrong | 41 | Linear factor models | 2005 |
| Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach by Keller and van Putten | 11 | Mathematical derivation | 2012 |
| Risk Adjusted Time Series Momentum by Dudler et al. | 9 | 2014 | |
| Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads by Till and Eagleeye | 1 | 2017 | |
| Multi-Asset A/A+ Momentum Fair Value Gap Strategy by Bindra | 0 | 2026 | |
| Under the Veil of Time Series Momentum: Return Decomposition Approach by Jin and Ren | 0 | Bayesian | 2026 |
| Has Machine Learning Defeated Trend Following Strategies in the Chinese Futures Market by Liang | 0 | Tree ensembles +1 | 2024 |
| Volatility Targeting Is Trendy: How Trend Following Explains Alpha in Volatility-Managed Strategies by Hood and Raughtigan | 0 | 2024 | |
| Optimal Dynamic Strategies on Gaussian Returns by Firoozye and Koshiyama | 0 | Mathematical derivation +2 | 2019 |
| Back to Basis: A Universal Return Predictor Across Asset Classes by Molyboga | 0 | Linear factor models | 2017 |
| Enhancing Time Series Momentum Strategies Using Deep Neural Networks by Lim et al. | Neural networks | 2020 |
Papers on momentum in multi-asset from other families
6 papers| filed under | ||
|---|---|---|
| Beyond Binary: A Ternary Regime Framework for Tactical Asset Allocation by Richman | Market timing and tactical asset allocation | 2026 |
| Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation by Wang and Kochard | Market timing and tactical asset allocation | 2019 |
| Quantitative Tactical Asset Allocation Using Ensemble Machine Learning Methods by Oflus | Market timing and tactical asset allocation | 2014 |
| Analysing the Effects of Tactical Overlays on Equal-Weighted and (Min CVAR) Equal Risk-Weighted Portfolios by Umapathy | Market timing and tactical asset allocation | 2013 |
| The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules by Zakamulin | Market timing and tactical asset allocation | 2013 |
| Tactical Asset Allocation Using Relative Strength by Lewis | Market timing and tactical asset allocation | 2012 |