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Optimal Allocation to Time-Series and Cross-Sectional Momentum | The Journal of Portfolio Management
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PDF] Time-series and cross-sectional momentum strategies under alternative implementation strategies | Semantic Scholar
![Darren🥚 on Twitter: "1/ Factor Momentum and the Momentum Factor (Ehsani, Linnainmaa) "Factors are positively autocorrelated [and time-series momentum strategies work on them]. Momentum is not a distinct risk factor; it aggregates Darren🥚 on Twitter: "1/ Factor Momentum and the Momentum Factor (Ehsani, Linnainmaa) "Factors are positively autocorrelated [and time-series momentum strategies work on them]. Momentum is not a distinct risk factor; it aggregates](https://pbs.twimg.com/media/D8f2RcHV4AA9W5V.png:large)
Darren🥚 on Twitter: "1/ Factor Momentum and the Momentum Factor (Ehsani, Linnainmaa) "Factors are positively autocorrelated [and time-series momentum strategies work on them]. Momentum is not a distinct risk factor; it aggregates
![PDF] Time-series and cross-sectional momentum strategies under alternative implementation strategies | Semantic Scholar PDF] Time-series and cross-sectional momentum strategies under alternative implementation strategies | Semantic Scholar](https://d3i71xaburhd42.cloudfront.net/a8f36b4a1a60804e6b2fe2f6d151fa9deb2945ae/22-Table4-1.png)