Time-Series Momentum in the ETF Era: Decay of the Long-Short Premium and the Case for Long-Only, Volatility-Targeted Trend Allocation
The classic TSMOM long-short premium has decayed to a zero net Sharpe, but a long-only volatility-targeted version across multiple horizons earns 0.58 with strong crisis protection.
Featured in No. 138 on 6 Nov 2026 · 6 days after release
- Released
- 31 Oct 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7670198
- Authors
- Xianghui Fang
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