Xu, Dezhong; Li, Bin; Singh, Tarlok; Park, Jung Chul - 2022
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...