A critique of momentum strategies

Yang Gao, Henry Leung and Stephen Satchell
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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, No 5, 350 pages

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
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Citations: View citations in EconPapers (2)

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DOI: 10.1057/s41260-018-0080-0

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