This article examines the performance of time-series momentum strategies using daily returns for 78 futures markets across four major asset classes between January 1985 and December 2017. The authors find that the 252-day, 63-day, and 21-day momentum strategies perform similarly to the previously documented 12-month, 3-month, and 1-month momentum strategies, respectively. The performance is stronger with volatility-based position sizing, robust to implementation considerations such as a 1-day gap between signal generation and execution, and persistent across asset classes and subperiods. The authors introduce a shorter duration momentum strategy with a weekly rebalancing frequency, which cannot be replicated using monthly returns. The authors find that the short-term strategy is a strong diversifier to the longer-term strategies, but the benefit may be reduced, or even completely offset, if the quality of trade execution is poor. The authors also find that the positive contribution of short-term momentum is driven by its superior diversifying characteristics rather than by the rebalancing frequency effect. TOPICS: Factor-based models, performance measurement, portfolio construction, style investing Key Findings • The authors examine the performance of time-series momentum using daily rather than monthly returns with standard lookback periods of 1, 3, and 12 months and a rebalancing period of 1 month. • They introduce a shorter duration momentum strategy with weekly rebalancing frequency. • The authors show that the short-term momentum strategy is a strong diversifier to the longer-term strategies but that the benefit is heavily dependent on the quality of trade execution.

中文翻译：

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短期趋势：隐藏在每日收益中的珠宝

本文使用1985年1月至2017年12月之间四个主要资产类别的78个期货市场的每日收益，研究了时序动量策略的表现。作者发现252天，63天和21天动量策略的执行情况与先前记录的12个月，3个月和1个月动量策略相似。凭借基于波动率的头寸规模，该性能更强，对实施注意事项（如信号生成和执行之间的1天间隔）以及跨资产类别和子期间的持久性具有鲁棒性。作者介绍了一种持续时间较短的动量策略，该策略具有每周一次的重新平衡频率，无法使用月度收益来重复。作者发现，短期策略是长期策略的强大多样化，但是如果交易执行质量较差，收益可能会减少，甚至完全抵消。作者还发现，短期动量的积极贡献是由其卓越的多样化特征驱动的，而不是由再平衡频率效应驱动的。主题：基于因子的模型，绩效衡量，投资组合构建，风格投资关键发现•作者使用每日而非每月回报（标准回溯期为1、3和12个月，以及重新平衡期）来检验时间序列动量的绩效1个月。•他们推出了具有每周重新平衡频率的较短持续时间动量策略。•作者表明，短期动量策略是长期策略的强大分散器，但收益很大程度上取决于贸易执行质量。