#3 – Sector Momentum – Rotational System
Szakmary, Zhou: Industry momentum in an earlier time:Evidence from the Cowles data
http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2014-Rome/papers/EFMA2014_0079_fullpaper.pdf
Abstract:
Virtually all evidence on the efficacy of momentum strategies arises from the post-1962 era, and momentum returns across different markets and asset classes are highly positively correlated. We examine industry momentum in an earlier time, and find these strategies would have earned returns over the 1871-1925 and 1871-1938 periods that are moderately similar to those in the modern era. We also show that the market state dependence of industry momentum strategies is similar between the two eras. Overall, our findings confirm that both the profitability and state-dependence of momentum strategies are pervasive and unlikely to be due solely to data-mining.
#14 – Momentum Effect in Stocks
Herberger, Kohlert: Trading inTurbulent Markets: Does Momentum Work? (page 53 – 65)
http://www.academia.edu/2733153/Trading_in_Risk_Dimensions
Abstract:
Identifying ways to successfully predict security returns based on past returns is a major objective ofinvestment research. One ofthe most impor-tant strategies, that ofmomentum (Levy, 1967; Jegadeesh and Titman,1993; Oehler et al., 2003), is employed in this chapter. Using NYSE datafrom December 1994 to May 2009, we analyze whether buying stocks that have performed well in the past and selling stocks that have performedpoorly in the past can generate signiï¬cant positive returns, even in a turbu-lent market phase. Our ï¬ndings suggest that investors using momentumstrategies could have indeed generated superior returns during that timeperiod.
#23 – Momentum Effect Combined with Term Structure in Commodities
Zaremba: Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2469407
Abstract:
The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term spreads are tested against a risk model. Both strategies reveal better performance in the case of commodities with low financialization level and generate little profits in the markets with significant presence of financial investors. The findings of this study can be used for the purposes of tactical asset allocation and employed in construction of a commodity futures pricing model which would account for the impact of financial investors.
De Groot, Karstanje, Zhou: Exploiting Commodity Momentum Along the Futures Curves
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2485314
Abstract:
This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.
#26 – Value (Book-to-Market) Anomaly
Hsu: Value Investing: Smart Beta vs. Style Indices
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2477293
Abstract:
The active shares of traditional value style indices are dominated by industry bets. They also capture less than the entire value premium because, weighting constituents on the basis of capitalization, they tend to hold large positions in overpriced stocks and small positions in underpriced (i.e., value) stocks. Smart beta strategies, in comparison, are better diversified, and they systematically buy low and sell high by periodically rebalancing to non-price related target weights. In addition to exploiting mean reversion in prices, smart beta strategies profit from mean reversion in the value premium by effectively implementing a dollar cost averaging program.
