This paper investigates the effectiveness of Time-Series Momentum (TSMOM) as a quantitative trading strategy in cryptocurrency markets, focusing on the structural shift introduced by the first spot Bitcoin ETF launch on January 11, 2024. Using daily price data from January 2018 to March 2026 across six assets: BTC-USD, ETH-USD, IBIT, FBTC, GLD, and SPY, we implement a volatility-scaled TSMOM strategy with monthly rebalancing consistent with Moskowitz, Ooi, and Pedersen (2012). The TSMOM portfolio generated annualized returns of 18.03% pre-ETF and 28.58% post-ETF, with Sharpe ratio improving from 0.82 to 1.22. A two-sample t-test yields p = 0.5835, indicating no statistically significant difference at the 5% level. Back testing shows TSMOM underperformed Buy-and-Hold by 7.67% in the pre-ETF bull market but outperformed by 20.95% post-ETF. These findings suggest TSMOM adds most value in uncertain, regime-switching conditions following institutional entry through spot ETFs.
Dr. B. Monica Jenefer M Pranav Kumar (Tue,) studied this question.