---
title: Time-Series Momentum in the ETF Era: Decay of the Long-Short Premium and the Case for Long-Only, Volatility-Targeted Trend Allocation
url: https://www.ml-quant.com/papers/ssrn/7670198/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-06
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7670198
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7670198
featured: 2026-11-06
citations: unknown
topic: Asset Pricing & Factors
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7670198
- Identifier: SSRN 7670198
- Released: 2026-10-31
- First featured: Quant Letter No. 138 (2026-11-06): https://www.ml-quant.com/issues/2026-11-06/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Xianghui Fang

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