Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach

Kamil Korzeń () and Robert Ślepaczuk
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Kamil Korzeń: Faculty of Economic Sciences, University of Warsaw

No 2019-17, Working Papers from Faculty of Economic Sciences, University of Warsaw

Abstract: The purpose of this research is to test the potential returns and robustness of an automated investment strategy. The strategy is based on momentum and macroeconomic approach, that consists of the technical core – momentum, and the additional macro screening, which is used to determine whether investment signals generate relevant investment opportunities or just technical noise. In order to check whether the macroeconomic factor is the value added to the momentum strategy, the hybrid approach is tested and compared with the simple momentum and the macroeconomic strategy alone and then assessed on a risk-adjusted return basis. The main aim of this paper is to answer the question, whether an investor can gain surplus risk-adjusted returns from merging short-term momentum strategy with the long-term macroeconomic approach. Strategies are based on the data for the selected companies from the S&P500 index in the period ranging from 02/01/1990 to 31/12/2018.

Keywords: investment strategy; momentum; macroeconomic indicators; algorithmic trading; risk adjusted returns (search for similar items in EconPapers)
JEL-codes: C15 C4 C45 C61 G14 G17 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2019
New Economics Papers: this item is included in nep-cfn
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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2019-17

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