I read Moskowitz, Ooi, Pedersen's Time series momentum (2012).
The ex-ante volatility estimate (equation (1) in the paper) is
- I am not sure about the period of the return reflected in the volatilty calculation above. Since the Time series momentum consists of a portfolio based on 12 months of return, does it mean to calculate geometrical mean and weighted volatility based on daily returns over the past 12 months? Then why is the infinity symbol above the sigma attached? It's written as if to add an infinite number of daily returns.
2.Let me ask you a question on delta. The paper says that the delta value is set so that the center of mass of the weight of the delta is 60 days. Does it means delta=60/61?