Cross-Sectional Momentum
Cross-Sectional Momentum has been a well-documented anomaly for decades. Cross-Sectional Momentum applies a relative strength measure to a universe of stocks or markets (asset classes) to determine past winners and predicts those relative strength leaders will continue to outperform the laggards in the future.
Cross-Sectional Momentum was originally simply called “momentum” by academics and most investment managers simply called it “relative strength”. Momentum is the empirically observed tendency for rising prices to rise further. For example, a Jegadeesh and Titman (1993) study showed that stocks with strong performance over the past 3 to 12 months continue to outperform over the next 12 months. The high momentum stocks also outperform stocks with poor past performance in the next period.
What is the difference between cross-sectional momentum and time series momentum?
Cross-sectional momentum is different than time series momentum.
Cross-sectional momentum is based on price trends between different markets or securities in the cross-section. Cross-sectional momentum looks at the relative strength of a cross-section of markets. We rank them based on their relative strength momentum to determine which markets or stocks have gained more and which have gained less.
Time series momentum is momentum across time, so academics started calling it time series momentum. Time series refers to a price trend, so time series momentum is the rate of change of a market or stocks on price trend.
Cross-sectional momentum is relative strength and relative momentum. Time series momentum is absolute momentum, which can be a trend following strategy.
To learn more about momentum and momentum investment strategies and trading systems, see:
Asymmetric Risks of Momentum Strategies
Relative Strength/ Relative Momentum
ASYMMETRY® Observations 
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