Question

What is a key difference between cross-sectional momentum and time-series momentum? Time-series momentum long/short can be...

What is a key difference between cross-sectional momentum and time-series momentum?

Time-series momentum long/short can be non-zero-cost occasionally

Cross-sectional momentum is always market beta neutral

Time-series momentum looks at time-series of cross-sectional momentum profits

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Answer #1

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Key difference between cross-sectional momentum and time-series momentum is that Time series momentum looks at time - series and cross sectional momentum profits.

The time series momentum is data that is measured using a sequence at certain time from various locations.

Where as cross sectional momentum is data collected by different sets from different sources at a particular time. It mainly focus on the results gained over an extended period.

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