S&P Global Sector survivals: Momentum effects in sector indices underlying iShares

Hartwig Kos and Natasa Todorovic

The Quarterly Review of Economics and Finance, 2008, vol. 48, issue 3, 520-540

Abstract: This study investigates survival of the momentum effects in S&P Global 1200 Sector index returns which are underlying indices for iShares, by employing a methodology which allows analyzing the momentum effect without being dependant on zero-investment portfolios. We design a trading strategy based on momentum survival time for 10 S&P Global 1200 Sectors and show that for most of the sectors, long, short and long/short momentum strategies are profitable at the realistic level of transaction costs, generating substantially higher Sharpe ratios than buy and hold sector index strategy.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:48:y:2008:i:3:p:520-540

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