Economics at your fingertips  

A critique of momentum strategies

Yang Gao, Henry Leung and Stephen Satchell
Additional contact information
Yang Gao: The University of Sydney Business School
Stephen Satchell: The University of Sydney Business School

Journal of Asset Management, 2018, vol. 19, issue 5, 341-350

Abstract: Abstract Given the key role of momentum-based trading strategies in active investing, assessing the merits of various trading strategies based on momentum should be of value to investors and managers alike. We summarise five momentum-based trading strategies which are well analysed in the academic literature, and introduce our new strategy named partial moment momentum (PMM) which distinguishes between upside and downside risks in the calculation of positions. Some empirical analyses suggest PMM outperforms the existing strategies.

Keywords: Momentum; Trend; Portfolio management (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-07-22
Handle: RePEc:pal:assmgt:v:19:y:2018:i:5:d:10.1057_s41260-018-0080-0