{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T03:31:11Z","timestamp":1793417471267,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We replicate Moskowitz, Ooi and Pedersen's (2012) time-series momentum (TSMOM) on a survivorship-free panel of 11 liquid exchange-traded funds spanning global equities, rates, credit, commodities and real estate over April 2007-October 2026, a sample covering the 2008 crisis, the 2020 pandemic and the 2022 inflation shock. Using the authors' volatility-targeted construction executed with a one-day lag and realistic costs, we find that the long-short TSMOM premium has largely decayed in the ETF era: the 12-month specification earns a net Sharpe ratio of 0.25, statistically indistinguishable from zero after costs, and the 1-month specification is significantly negative. The economics of the signal, however, survive in a long-only implementation: restricting positions to be non-negative and diversifying across the 3-, 6-and 12-month horizons yields a net Sharpe ratio of 0.58 (Newey-West) with a maximum drawdown of-20.4%, versus-55.2% for the S&amp;amp;P 500 and-32.2% for an equal-weighted buy-and-hold portfolio. The improvement is concentrated in crises: during the 2008-09 episode the strategy returns-1.9% against-36.9% for equities. A volatilitymanaged overlay and a 200-day moving-average crisis-rotation rule each improve specific episodes but do not dominate the simpler long-only combo out of sample of the original study. Finally, we show that refreshing signals monthly while sizing positions daily cuts annual turnover from 25\u00d7 to 8\u00d7 with no loss of Sharpe, making the strategy implementable at retail scale. All code and data pipelines are publicly available.<\/jats:p>","DOI":"10.2139\/ssrn.7670198","type":"posted-content","created":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T03:16:23Z","timestamp":1793416583000},"source":"Crossref","is-referenced-by-count":0,"title":["Time-Series Momentum in the ETF Era: Decay of the Long-Short Premium and the Case for Long-Only, Volatility-Targeted Trend Allocation"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-1631-2670","authenticated-orcid":true,"given":"Xianghui","family":"Fang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T03:16:23Z","timestamp":1793416583000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7670198"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7670198","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}