Tobias J. Moskowitz
Professor of Finance at Yale School of Management, NBER researcher, and consultant at AQR Capital Management. Co-author of the foundational Moskowitz Ooi Pedersen 2012 Time Series Momentum paper and lead author of Moskowitz Sabbatucci Tamoni Uhl 2025 Nonlinear TSMOM.
Affiliations
- Yale University, Department of Finance (current).
- NBER — research associate.
- AQR Capital Management — consultant / academic affiliate (since the original 2012 TSMOM work).
Key contributions
- Time-series momentum (2012, with Ooi & Pedersen) — first systematic documentation of TSMOM across asset classes; the paper that triggered the modern CTA / managed-futures academic literature.
- Momentum crashes (2016, with Daniel) — explanation for the negative skew and tail drawdowns of momentum strategies; basis for the DM dynamic-weighting rule. 已收录: summaries/201603-daniel-moskowitz-momentum-crashes/201603-daniel-moskowitz-momentum-crashes
- 核心机制: 崩盘期动量组合的 beta 翻转——熊市里做多低 beta、做空高 beta，市场反弹即被反噬（上涨市场 beta −1.796 vs 下跌市场 −0.70）
- 关键数字: 1932 年 7—8 月输家十分位 +232%、赢家仅 +32%；动态策略跨全部市场年化 Sharpe 1.18；日本静态 0.07 → 动态 0.42
- 与波动率管理的区别: 动态权重需要同时预测均值与方差，只按波动率缩放会丢掉崩盘那部分收益
- Nonlinear time-series momentum (2025, with Sabbatucci, Tamoni & Uhl) — extends TSMOM with a theoretically motivated nonlinear signal-to-position mapping.
- Long-running research program on risk premia, asset pricing anomalies, and the behavior of factor returns.