We propose a timing momentum strategy by incorporating moving-average signals in the price momentum and show that the proposed strategy substantially outperforms the buy-and-hold strategy. The performance of the timing momentum is better than that of Barroso and Santa-Clara’s (2015) constant-volatility momentum and is identical to that of Daniel and Moskowitz’s (2016) dynamic momentum. One advantage of the timing momentum is that its weights on winner and loser portfolios are lower than the other two strategies, thus leading to lower transaction costs. Further, we show that the profitability of the timing momentum is enhanced when information uncertainty is high. More importantly, the timing momentum has time-invariant profitability across various time-series predictors and during periods of momentum crashes.

中文翻译：

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时机动量策略

我们通过在价格动量中加入移动平均信号来提出一种时机动量策略，并表明所提出的策略大大优于买入并持有策略。时序动量的表现优于 Barroso 和 Santa-Clara（2015）的恒定波动动量，与 Daniel 和 Moskowitz（2016）的动态动量相同。时机动量的一个优势是它对赢家和输家投资组合的权重低于其他两种策略，从而降低了交易成本。此外，我们表明，当信息不确定性很高时，时间动量的盈利能力会增强。更重要的是，时间动量在各种时间序列预测器和动量崩溃期间具有时间不变的盈利能力。