Ivolution Research Journal · Inconclusive report
Time-series momentum (12-month) vs T-bill hurdle
Months following a positive trailing-12-month index return earn more than the T-bill hurdle (the time-series-momentum premium), vs months following a negative trailing-12-month return.
Cite as: SYS-02: Time-series momentum (12-month) vs T-bill hurdle. Ivolution Research Journal.
Publication status
The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for SYS-02 are available to Terminal + AI members.
Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
21 sessions