Momentum strategies with stock index exchange-traded funds

Yiuman Tse

The North American Journal of Economics and Finance, 2015, vol. 33, issue C, 134-148

Abstract: Previously reported momentum profits may not be available to individual investors who have more trading constraints. Therefore, I examine the profitability of momentum strategies with international iShares and US sector exchange-traded funds (ETFs) traded on the NYSE. The index ETFs provide individual investors easy access to international stock markets and US sectors for asset allocations. Using cross-sectional momentum strategies, in contrast to prior research, I find that momentum profits are insignificant for the late 1990s–2014 period. Few country and industry ETFs yield positive results using time series momentum, and the overall performance is worse than the buy-and-hold strategy. Time series momentum offers significant profits during the 2008 global financial crisis, but the profits decline sharply for the post-crisis period.

Keywords: Momentum; Index exchange-traded funds; International and sector asset allocation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:33:y:2015:i:c:p:134-148

DOI: 10.1016/j.najef.2015.04.003

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