Asymmetry, tail risk and time series momentum

In this paper, we investigate how to improve the time series momentum strategy by using partial moments. We find that reversals of can be partly predicted tail-distributed upper and lower moments derived from daily returns commodity futures. Based on such information, propose rule-based approaches trading signals suggested strategy. The empirical results based Chinese futures document statistically significant improvements Sharpe ratio in out-of-sample period. These are robust different look-back windows.