Trend Following and Momentum
Moving-average timing, time-series trend following, and momentum across asset classes and individual stocks.
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- Idiosyncratic (Pure or Residual) Momentum as a Stock Return Predictor Idiosyncratic momentum outperformed conventional momentum (0.48 vs 0.25 monthly Sharpe ratio; Dec 1925–Dec 2015; volatility-adjusted residual returns from Fama-French 3-factor model, monthly rebalanced WML portfolios; U.S. stocks).
- Complex Intraday Time Series Momentum Strategy Applied to SPY Volatility-targeted SPY intraday momentum (noise-boundary breakouts checked at HH:00/HH:30; VWAP-based trailing stops; flat at close) produced 19.6% net annualized return, 1.33 Sharpe, -25% max drawdown (May 2007–Apr 2024; assumed trading frictions; in-sample).
- Asset Allocation Based on Trends Defined by Moving Averages SMA10 timing across five asset classes outperformed buy-and-hold (10.5% vs 9.9% annualized; 1973-2012; monthly rebalancing; S&P 500/bonds/EAFE/commodities/REITs).
- Stripping Risks from a Stock Momentum Strategy Residual return momentum outperformed total return momentum (11.2% vs 10.3% annualized return, 0.90 vs 0.45 Sharpe ratio; Jan 1926–Dec 2009; long-short decile portfolios, monthly rebalancing; broad U.S. stocks).
- 10-Month SMA Timing Signals Over the Long Run 10-month SMA timing performed similarly to buy-and-hold S&P Composite (0.75% vs 0.79% average monthly return; Dec 1871–Dec 2012; instant execution, 1% trading friction; Shiller dataset).
- Why the Skip-period in Momentum Strategies? Momentum strategies with skip-periods underperformed those without by ~2% annually in one 19-year asset class rotation test, suggesting the original rationale may not apply to monthly intervals (one test; timeframe unspecified).
Moving averages
47 articlesTiming the market with 200-day, 10-month and other moving-average rules.
- Optimal Intrinsic Momentum and SMA Intervals Across Asset Classes No single intrinsic momentum (IM) lookback or SMA length worked best across ten asset ETFs; IM11 and SMA7 had the best average CAGR, but none beat buy-and-hold on average (23%…
- SPY After Death and Golden Crosses SPY showed little difference in average 126-day total returns after death versus golden crosses (50-day SMA crossing below/above 200-day SMA; Jan 1993–Apr 2025; 15 death, 14 golden crosses); descriptive, not…
- Testing the SMA21-to-SMA200 Ratio on the S&P 500 Index SMA21-SMA200 ratio timing (hold S&P 500 when ratio >1, else cash; month-end) underperformed buy-and-hold S&P 500 in the 1950-onward subsample (7.30% vs 8.17% CAGR; gross, lookahead-biased design; data Dec 1927–Nov…
- Long-term SMA and TOTM Combination Strategy SMA200 or TOTM (hold SPY above its 200-day SMA, otherwise only turn-of-month days, cash at other times) ranked first by CAGR and Sharpe ratio among four strategies including SPY buy-and-hold…
- SMA Signal Effectiveness Across Stock ETFs Buy-and-hold beat six SMA timing rules (50/100/200-day, all-three, at-least-one, 50>200 cross) on average net CAGR with 0.1% switching cost; it won 15 of 21 assets, SMA50>SMA200 won four (18 stock…
- 10-month vs. 40-week vs. 200-day SMA 10-month SMA timing of SPY outperformed 40-week and 200-day SMAs (10.1% vs 8.0% and 8.3% average annual net return; Nov 1993–Apr 2023; SPY/T-bill switching on SMA crossings, 0.1% one-way frictions),…
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- Combining SMA10 and P/E10 Signals Adding a P/E10 Binary 20-year signal to SMA10 timing of the S&P Composite Index did not add compelling value; standalone SMA10 tied SMA10 OR Binary 20-year for best terminal value…
- Quantifying the Value of SMA10 Trend Following SMA10 trend following (SPY when the S&P 500 is above its 10-month SMA at the prior month-end, else LQD; monthly) had higher return/risk than all 100 random SPY/LQD trials with…
- Intrinsic Momentum or SMA for Avoiding Crashes? Intrinsic momentum and SMA timing show no clear winner versus buy-and-hold S&P 500 (only 2 of 35 rules beat buy-and-hold on net CAGR; all beat it on max drawdown; Dec…
- Simple Tests of an Asymmetric SMA Strategy Switching to a 3-month SMA for re-entry after SPY falls below its 10-month SMA offered little benefit over always using SMA10 (SPY/cash, 0.1% switching cost; Nov 1993–Dec 2021; in-sample, monthly…
- Combining SMA10 and Sahm Indicator SMA10+Sahm (hold S&P 500 unless below its 10-month SMA when Sahm first signals recession, then cash until it recrosses SMA10) beat S&P 500 buy-and-hold by 1.9% CAGR and SMA10 by…
- SPY 30-day/9-month SMA Crossover Test SMA30d-SMA9m crossover strategy underperformed simple SMA9m strategy (9.3% vs 9.5% CAGR; Jan 1993–Sep 2020; SPY/cash allocation monthly; 0.2% switching frictions assumed).
- Optimal SMA Lookback Interval? SMA lookback intervals of 6-24 months appear optimal for S&P 500 timing signals, but no consistently best interval emerges across subperiods (Jan 1932-Jun 2020; monthly SMA crossing signals vs buy-and-hold).
- SMA10 vs. OFR FSI for Stock Market Timing SMA10-based SPY timing outperformed OFR FSI timing, with combined signals offering modest improvements (Jan 2000-Jun 2019; monthly rebalancing; all timing strategies underperformed buy-hold post-2009).
- Optimal Cycle for Monthly SMA Signals? EOM cycle for 10-month SMA timing generated 8.4% CAGR vs 8.0% for buy-and-hold S&P 500, but cycle rankings reversed across subperiods (Jan 1990-Jun 2019; 21 timing variations tested).
- Trend Following: Momentum or Moving Average? Zakamulin and Giner argue moving average rules outperform momentum for trend following, linking theoretical robustness to reduced sensitivity across lookback intervals (2018; theoretical model).
- Moving Average Timing of Stock Fundamental Ratios SMA timing of fundamental ratios outperformed buy-and-hold (34.3%-41.1% vs 7.4%-9.7% for China; 16.5%-28.6% vs 4.1%-8.7% for US; 2001-2017 China, 1970-2017 US; long-short fundamental deciles when above SMA).
- Stock Market Timing Using P/E SMA Signals P/E SMA timing strategies underperformed buy-and-hold (9.4% vs 9.9% CAGR; 1886–2018; binary/scaled allocations on 5/10/15-year P/E SMAs; S&P Composite with 6-month earnings delay).
- U.S. Stock Market Death Crosses and Golden Crosses DJIA death crosses showed minimal predictive value, with 2.8% vs 2.3% average 126-day returns after death vs golden crosses (Oct 1928–May 2017; 58 signals each); S&P 500 showed clearer differentiation…
- Different Moving Average Lengths for Up and Down Trends? Asymmetric EMAs outperformed symmetric EMAs and buy-and-hold (optimal daily returns 1.4-15.4x vs buy-and-hold across 7 indexes; through Oct 2016; short uptrend signals with longer downtrend signals).
- Smoothness vs. Lag Time for Moving Averages Zakamulin argues exponential moving averages offer the best smoothness-lag trade-off for trend identification, linking weighting schemes to turning point detection efficiency (theoretical; mathematical analysis).
- Leveraging the U.S. Stock Market Based on SMA Rules Leveraged SMA200 strategy (2X leverage when S&P 500 above 200-day SMA, T-bills below) achieved 0.51 Sharpe ratio vs 0.30 for buy-and-hold (Oct 1928–Oct 2015; assumes 1% annual leverage cost, ignores…
- Challenging SMA Effectiveness for Stocks After correcting for one-month look-ahead bias, SMA timing strategies showed no statistically significant improvement over buy-and-hold (Jan 1960–Dec 2011; 10/24-month SMAs on French portfolios; net Sharpe ratios).
- 24-Month SMA Effectiveness Verification Tests 24-month SMA timing strategies underperformed buy-and-hold across longer samples (1950-2016 S&P 500, 1932-2016 DJIA), while 10-month SMA showed superior risk-adjusted returns with comparable Sharpe ratios.
- Combining SMA Crash Protection and Momentum in Asset Allocation Combining 10-month SMA trend following with volatility-weighted momentum screens outperformed equal-weight allocation (14.5% vs 6.6% gross annualized return; Jan 1993–Mar 2015; top 20 of 95 global assets, cash filter; monthly…
- Long-run Moving Average Horse Race for Timing the U.S. Stock Market Moving average timing strategies outperformed buy-and-hold with higher Sharpe ratios (1870-2014; MOM/P-REMA statistically superior over full period), but performance deteriorated over time with no statistical outperformance post-1932.
- Best Moving Average Weighting Scheme for Market Timing? Conventional exponential moving average (decay factor 0.87) outperformed simple moving average as most robust U.S. market timing scheme (median Sharpe ratio ranks across 450 tests; Jan 1860–Dec 2014; 300 weighting…
- Market Timing with Moving Averages Over the Very Long Run Moving average timing rules generated higher Sharpe ratios than buy-and-hold despite lower mean returns (Jan 1860–Dec 2009; simple momentum with 7-month average optimal lookback; S&P Composite Index).
- Exploiting Exchange Rate SMA Signals ANANTA currency strategy using SMA crossings on 10 G10 pairs generated 7.6% net annual returns (2-day SMA) and 9.0% (15-day SMA) with twice-daily rebalancing (Jan 2003–Dec 2013; includes trading costs).
- Net Performance of SMA and Intrinsic Momentum Timing Strategies SMA and intrinsic momentum timing strategies marginally outperformed S&P 500 buy-and-hold (7-12% net Sharpe ratio improvement; 1930-2012 out-of-sample; 2-24 month lookbacks with 0.5% trading costs; bootstrap testing).
- Pure Versus Buffered SMA Crossing Signals Pure SMA200 crossing outperformed buffered SMA200 crossing for frictions up to 0.4% (DJIA 1933-2014: 259 vs 103 trades; DIA 1998-2014: 78 vs 43 trades; buffered rules reduced trading ~60% but…
- Asset Allocation Based on Trends Defined by Moving Averages SMA10 timing across five asset classes outperformed buy-and-hold (10.5% vs 9.9% annualized; 1973-2012; monthly rebalancing; S&P 500/bonds/EAFE/commodities/REITs).
- 10-Month SMA Timing Signals Over the Long Run 10-month SMA timing performed similarly to buy-and-hold S&P Composite (0.75% vs 0.79% average monthly return; Dec 1871–Dec 2012; instant execution, 1% trading friction; Shiller dataset).
- Pervasiveness and Robustness of SMA Effectiveness for Stocks 24-month SMA rules outperformed buy-and-hold across U.S. stock portfolios (3-7% annual four-factor alphas; 1960-2011; monthly rebalancing; value-weighted portfolios sorted by size, value, momentum factors).
- Moving Average Rules Over the Long Run Moving average rules outperformed buy-and-hold during 1934-1986 but underperformed during 1987-2011, with effectiveness peaking in early 1970s then disappearing (DJIA stocks; Oct 1928-Dec 2011; 10,800 rule variants).
- Using Multiple SMA Regressions to Time the Stock Market Multiple SMA regression forecasts show small, inconsistent correlations with SPY returns (Jan 1993–Nov 2012; offset regressions using 3-200 day SMAs; in-sample analysis with data snooping bias).
- Combine Long-term SMA, TOTM and Sector Momentum? Sector TOTM effects favor past momentum losers over winners (bull state: losers outperform winners; bear state: similar pattern); TOTM appears more connected to reversion than momentum (Dec 1998–Aug 2012; 9…
- Moving Averages and REIT Indexes SMA timing outperformed buy-and-hold across 20 REIT indexes (6.1-17.4% four-factor alphas with 24-month SMA; 1980-2010; monthly signals, 0.5% trading costs; shorter intervals generally superior to longer ones).
- Combining Realized Volatility and Simple Moving Averages 10-day SMA timing generated gross abnormal returns of 8.4%-18.7% across volatility deciles, with highest alphas for most volatile stocks (1964-2009; daily rebalancing on index signals; U.S. stock deciles).
- Improving Moving Average Rules? Modified moving average rules with dynamic trailing stops outperformed conventional crossover strategies across 70-89% of combinations tested (1928-2011; long-only variation; stock indexes, ETFs, currencies; gross returns before trading costs).
- Effectiveness of Very Long Moving Averages Very long moving averages (up to 1000 days) outperformed buy-and-hold (9.2%-13.6% vs 6.1% annual returns; 1994-2008; SMA crossover signals with 1% buffer; S&P 500 excluding dividends), but lack statistical significance.
- 10-Month SMA Timing Signals Over the Short Run 10-month SMA timing strategies outperformed SPY buy-and-hold with lower volatility (Jan 1993–Sep 2010; monthly signals, 0.2% trading friction; all four SMA variants showed similar outperformance).
- Momentum and Moving Averages for Currencies Research confirms currency momentum exists across multiple studies (1980s–1990s; 354 moving average rules across 8 currencies), with strategies generating statistically significant positive excess returns lasting up to 3 years.
- Sell Index Put Options Only When Above Long-term SMA? Russell 2000 put selling shows favorable but not decisive risk reduction when above short-term SMAs; TOTM effect near zero in falling markets limits safety margin for at-the-money options (22-year Russell…
- Combining Momentum and Moving Averages for Asset Classes Combined momentum-SMA strategy (3/6/12-month average momentum + 10-month SMA filter) matched TLT returns with slightly higher volatility (Aug 2003–Apr 2009; monthly rebalancing across SPY/TLT/IWM/cash; 69 months).
- Simple Test of MACD Crossover as an Abnormal Returns Indicator MACD crossover strategy (12/26-day EMA difference crossing 9-day EMA with 25% filter) underperformed SPY buy-and-hold despite 1.3% average round-trip gains (Jan 1993-Feb 2008; 84 round trips, 45% market exposure).
- Does a Long-Term Moving Average Indicator Predict Big Days? S&P 500's 200-day MA timing catches just 10% of big up days while missing 57.5% of big down days (40 biggest up/down days; Jan 1950–Nov 2007; descriptive; not a trading…
Trend following
58 articlesTime-series momentum and managed futures.
- Are Managed Futures ETFs Working? An equal-weighted portfolio of six managed futures ETFs underperformed a monthly rebalanced 60% SPY/40% LQD portfolio (CAGR 1.6% vs 10.0%; MaxDD -30% vs -23%; monthly returns as available through August…
- Regime-Optimal Trend Following Regime-dependent optimal allocation (OPT) improved gross Sharpe ratios versus conventional time series momentum in both 2-regime and 4-regime models (U.S. equities from 1926, 14 other countries from 1975, factor portfolios…
- S-shaped Time Series Momentum? Non-linear TSMOM weights that flatten or reverse for extreme past returns produced higher out-of-sample gross Sharpe ratios than linear weights across lookbacks and reweighting frequencies (53 futures; Jan 1980-Oct 2024;…
- Crypto-asset Trend-following Strategies A long-only trend-following ensemble across up to 20 liquid crypto-assets (daily breakout signals, 25% volatility targeting, monthly rebalance) earned 18% net CAGR and 11% annualized net alpha versus Bitcoin buy-and-hold…
- All-time High Trend Following for U.S. Stocks Long-only all-time-high trend following on U.S. stocks (Russell 3000, daily ATR stop, volatility-targeted sizing) delivered 15.0% gross CAGR vs 11.2% for the cap-weighted market (Jan 1991–Oct 2024); net CAGR depends…
- Applying Simple Trend Following Rules to Cryptocurrencies A 20-day SMA trend rule on BTC (hold when price is above its prior-day SMA, else cash) had a gross Sharpe ratio of 1.68 and a net of 1.25 at…
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- Industry Trend-following over the Long Run Industry trend-following (long-only; Keltner/Donchian breakout entries, trailing stops, volatility-targeted sizing, T-bills when out) outperformed the cap-weighted U.S. stock market (18.5% vs 9.7% gross annual return; 48 hypothetical industry portfolios, Jul…
- Complex Intraday Time Series Momentum Strategy Applied to SPY Volatility-targeted SPY intraday momentum (noise-boundary breakouts checked at HH:00/HH:30; VWAP-based trailing stops; flat at close) produced 19.6% net annualized return, 1.33 Sharpe, -25% max drawdown (May 2007–Apr 2024; assumed trading…
- Economic Trend Following Economic Trend, a futures/forwards strategy trading trends in five economic fundamentals across equity, bond, currency and commodity assets, produced a 1.1 gross annualized Sharpe ratio, versus 1.4 for price trend…
- Effects of Market Volatility on Market Trend Strategies Multi-SMA trend factor hedge portfolio (long/short top/bottom decile of U.S. stocks) averaged 2.66% monthly gross return after high-volatility months vs 1.64% after low-volatility months (Jan 1926–Dec 2022; gross, full-sample median…
- Global Macro and Managed Futures Performance Review Global macro and managed futures hedge fund indexes showed full-sample average annual net alphas of 4.0% and 3.2% versus 2.1% for long-short equity, relative to U.S. stock and bond factors,…
- Best Trend-following Strategy with Frictions? For small-cap U.S. stocks vs. Treasury bills, the net-Sharpe-optimal SMA crossover (25-day long SMA) uses a shorter lookback that rises irregularly with trading frictions, and matches SMA25 alone below 0.3%…
- Trend Following Plus Relative Sentiment for Stocks-Bonds Allocation Over Nov 1994–Aug 2022, a 50-50 mix of trend following (10-month SMA, U.S. stocks/aggregate bonds) and relative sentiment (weekly COT/Sentix) thinned return tails versus each component, but relative sentiment alone…
- Add Managed Futures Fund Index to SACEMS? Adding the Eurekahedge CTA/Managed Futures Index or SG Trend Index to the nine-asset SACEMS universe (ETF momentum rotation) sometimes raises EW Top 3 gross CAGR but does not reduce gross…
- Testing a 2-12 Asset Class Absolute Momentum Strategy 2-12 Absolute (monthly; five equal-weighted positions in GLD, ACWI, VNQ, TLT and LQD, each held if past 2- and 12-month returns are both positive, else SHY) averaged 49% SHY allocation,…
- Mitigating Impact of Price Turning Points on Trend Following Dynamic trend-following strategy outperformed conventional time series momentum (9.4% vs 7.5% over 30 years, 4.3% vs 1.8% over 10 years; Jan 1971–Dec 2019; adapts lookback when fast/slow signals disagree; 55…
- Reducing Downside Risk of Trend Following Strategies Complex trend following (12-month return + price channel breakout) with risk parity weighting outperformed simple trend following with equal volatility weighting (13.1% vs 5.6% annual excess return; 1961-2017; 66 futures/forwards).
- Including Basis to Qualify Multi-class Intrinsic Momentum Basis-qualified intrinsic momentum outperformed standard intrinsic momentum (0.73 vs 0.56 Sharpe ratio; Jan 1975–Dec 2016; 12-month momentum with prior-month basis filter, dynamic volatility targeting; 65 futures series).
- Combine Market Trend and Economic Trend Signals? Combining SPY SMA10 with unemployment rate SMA12 ("Either" signal) slightly outperformed buy-and-hold (10.7% vs 10.0% CAGR; 1948-2019; primarily driven by 2000s decade; 71-year sample).
- Equity Factor Time Series Momentum Momentum timing (scaling factor exposure 0-1 based on prior-month return) boosts gross Sharpe ratios by 0.32-0.61 for 5 of 7 equity factors, surviving trading frictions up to 0.21%-0.59% (Jul 1963–Nov…
- Optimal Retirement Glidepath with Trend Following Trend following overlay improved 60/40 stock-bond retirement portfolios (6.4% vs 6.0% median PWR; 1926-2016; 10-month SMA on S&P 500/bonds, monthly rebalancing; 30-year horizons).
- Stocks Plus Trend Following Managed Futures? 50% SPY/50% trend following managed futures did not materially reduce CAGR versus SPY alone but exhibited lower volatility (2000-2018; trend following hedge fund index proxy; annual rebalancing).
- Chemical Activity Barometer as Stock Market Trend Indicator CAB timing strategies did not materially outperform buy-and-hold, with CAB SMA12 achieving 9.7% vs 10.1% CAGR for buy-and-hold (Jan 1912–Dec 2017; 0.25% switching costs; Shiller S&P Composite data).
- Trend-following Managed Futures to Make Retirement Safer? 50-50-10 retirement portfolio with trend-following managed futures achieved 4.14% SAFEMAX versus 4.01% for conventional 50-50 stocks-Treasuries (30-year periods 1926-2012; gross of fees).
- Trend Following to Boost Retirement Income SMA10 trend following substantially boosts retirement portfolio performance, with trend following versions of all tested portfolios showing higher reward/risk ratios and suppressed maximum drawdowns (1970-2015; UK assets; Perfect Withdrawal Rate…
- Trend Following with Intrinsic Momentum over the Very Long Run Intrinsic momentum (1-, 3-, and 12-month lookbacks across commodities/equities/bonds/currencies) generated positive net returns in each decade since 1880, with 0.4 average Sharpe ratio after 2%+20% fees (1880-2016; 67 assets).
- A Few Notes on Trend Following Covel's book argues trend following reacts to price movements rather than predicting direction, citing research showing positive returns and low correlation with traditional assets across centuries (descriptive compilation of practitioner…
- Sources of Trend-following Profitability DJIA trend-following rules averaged 3.72% annual excess return vs buy-and-hold (Mar 1926–Oct 2016; 1,245 SMA-based rules), but outperformance depends on sample characteristics rather than forecasting ability.
- Trend Following and Covered Calls in Combination Combining trend following and covered call strategies improved multi-class portfolio Sharpe ratios (0.86 vs 0.66 for ERC allocation; 2007-2016; quarterly rebalancing across 10 asset classes).
- Trend Following for Retirement Portfolio Allocations T8 and T12 trend following (monthly rebalancing among stocks/bonds/cash based on 8- or 12-month EMAs) improved U.S. retirement portfolio outcomes but showed mixed results for UK/Japan (1865-2015 U.S.; 30-year portfolios;…
- Simple, Practical Test of Cross-asset Class Intrinsic Momentum XTSMOM (cross-asset momentum using 12-month SPY/IEF returns) underperformed conventional TSMOM scenarios, with SPY TSMOM Long Only and SPY-IEF TSMOM Long Only showing attractive performance (Jul 2002–Dec 2016; gross returns).
- Cross-asset Class Intrinsic Momentum XTSMOM strategy (long stocks/bonds when both prior returns same sign, bonds when opposite) outperformed comparable TSMOM across 18 of 20 countries (12-month lookback, 1-month holding; Jan 1980–Dec 2015; 20 developed…
- Risk Aspects of Long and Short Futures Trend-following Futures trend-following underperformed during rising rates, with long/short sides showing asymmetric interest rate sensitivity (1984-2015; slow/fast moving average rules across 60 contracts; model explains 67% of CTA variance).
- Long-term Tests of Intrinsic Momentum Across Asset Classes MomCTA time series momentum outperformed other momentum variants (1.56 vs 0.64-1.30 Sharpe ratios; 1960-2015; volatility-scaled signals across bonds/commodities/currencies/equities; in-sample optimized).
- Feasibility of Cloning CTA-like Funds The four-factor model explains only 34% of CTA fund returns (equal-weighted; Jan 1987–Jul 2015), indicating factor-based CTA clones would deviate considerably from actual CTA performance.
- Benchmarking Trend-following Managed Futures TSMOM futures timing system achieved 6.2% net annual return and 0.62 Sharpe ratio, explaining substantial return behavior of trend-following Managed Futures funds (January 1994–September 2015; 98 futures contracts).
- Trend Following vs. Return Chasing Trend following outperformed 50-50 benchmark by 3.6% annually while return chasing underperformed by 1.2% (1871-2015; trend=100% stocks when prior-year real return >2.5%, chase=gradual 20% adjustments; Shiller data).
- Combining Seasonality and Trend Following by Asset Class Seasonality overlay enhanced trend-following strategies with Sharpe ratios increasing from 0.91 to 0.98 for commodities and 0.81 to 0.85 for equities, though benefits disappear at trading frictions above 0.20-0.15% (1992-2014;…
- Combining Trend Following and Risk Parity across Asset Classes Long-short trend following with risk parity weighting outperformed inverse volatility weighting (1.48 vs 1.31 gross Sharpe ratio; Jan 1987–Dec 2013; 12-month momentum across 35 futures; monthly rebalancing).
- Currency Carry and Trend Following Combo Currency carry with trend following overlay outperformed standalone carry (higher Sharpe ratio, lower max drawdown; Jan 1981–Dec 2012; monthly rebalanced long/short portfolios of 39 currencies vs USD).
- Intrinsic Momentum in International Equity and Commodity Indexes Intrinsic momentum strategies (long/short indexes with positive/negative returns) generated positive Sharpe ratios for look-back intervals up to 12 months but showed no momentum post-2008 (45 equity, 22 commodity indexes; Dec…
- Trend Indicator Similarities Two papers argue that trend indicators (time series momentum, moving average crossovers, linear filters) are theoretically equivalent despite appearing diverse; 12-month intervals outperformed shorter ones (58 futures series; daily data;…
- Sensitivities of U.S. Stock Market Trend Following Rules Trend following rule effectiveness varies substantially across time periods, with optimal lookback windows shifting from SMA9-10/IM6 (full sample) to SMA12/IM6 (2000s) to SMA6/IM3 (recent years) (Apr 1992–Mar 2014; S&P 500…
- Trend Following over the Very Long Run Trend following outperformed long-only positions (0.72 vs 0.15 correlation with drift; 1800-2014; EMA signals, volatility-scaled positions; spot prices across stocks/bonds/currencies/commodities).
- Momentum and Trend-following for European Equity Sectors/Countries Momentum strategies outperformed equal-weighted European sector/country portfolios, with SMA10 overlay substantially reducing maximum drawdowns from 50%+ (1988-2011; 19 sectors, 15 countries; gross returns).
- Intrinsic Momentum Diversified across Futures Intrinsic momentum strategy (long/short based on 1/3/12-month returns vs risk-free rate) achieved 1.8 gross Sharpe ratio diversified across 58 futures/forwards (Jan 1985–Jun 2012; weekly rebalancing; 40% vol target per position).
- Higher Measurement Frequency and Stop-losses for Trend Followers? Daily signals do not significantly outperform weekly signals for trend-following strategies (5.3% vs 5.0% annualized return; 2000–2012; SMA crossover on 39 futures series with $30 round-trip friction).
- Inside Intrinsic Momentum Five of eight ETFs show weak positive intrinsic momentum (5-month past return predicting next-month return), with R-squared values of 1-3%, while TLT exhibits slight reversion (Jul 2002-Jun 2013; single-asset regressions;…
- Intrinsic Momentum Framed as Stop-loss/Re-entry Rules Stop-loss/re-entry rules enhanced absolute and risk-adjusted returns for most stock markets and U.S. REITs but not emerging markets, commodities or gold (Jan 1970–Apr 2013; slow out-fast in optimal).
- Intrinsic Momentum Across Asset Classes 12-month intrinsic momentum (switching to T-bills when 12-month return trails T-bill yield) boosted Sharpe ratios and cut maximum drawdowns across all eight asset classes and portfolios (1973-2012; monthly rebalancing).
- Intrinsic Momentum Versus SMAs for Size Portfolios SMA rules outperformed intrinsic momentum rules for timing U.S. size portfolios by 0.33% monthly for smallest quintile, 0.12% for largest (1963-2011; long-only strategy switching to T-bills on sell signals).
- A Few Notes on The Trend Following Bible Abraham's "The Trend Following Bible" presents integrated trend-following methodology emphasizing risk management, directional trading with MACD confirmation, and psychological discipline, but relies on anecdotes rather than statistical evidence (2012; conceptual…
- Managed Futures as Portfolio Diversifier Managed futures outperformed hedge funds as portfolio diversifiers for stocks-bonds (-0.15 vs 0.80 correlation with S&P 500; Jun 2001–Dec 2011; monthly rebalancing; Barclay Systematic Traders vs HFRI indices).
- Intrinsic Momentum Investing Time series momentum (12-1 strategy) across 58 futures contracts generated 1.26% gross monthly alpha versus equities (1985–2009; inverse volatility-weighted positions across equity indexes, currencies, commodities, bonds).
- Technical Trend-following: Fighting the Last War? SMA timing rules beat buy-and-hold when target assets exhibit negative drift, high positive return autocorrelation, and low volatility, but show no predictive ability (2000-2009; 35 country indexes; simulated series).
- Analysis of Managed Futures? Managed futures (CTAs) earned insignificant 85 basis points annually over T-bills net of fees, though captured 5.4% gross returns through fees (1994-2007; academic studies show high attrition rates, limited alpha).
- Befriend the Trend Trading’s Trend Trades The Trend Trade Letter generated 1.3% average raw trade profitability but apparent outperformance may disappear after correcting for trading frictions and data errors (1,329 trades; Oct 2002–Dec 2007; momentum-aided volatility…
- Finding Memes for Contrarian or Trend-following Plays The post discusses emerging web-based tools for detecting investment memes through news aggregators and blog filters, suggesting rapid meme detection may offer trading advantages (conceptual; not a trading test).
Asset class and ETF momentum
95 articlesRotating among ETFs, sectors and countries by past returns.
- Treasuries ETFs Momentum Strategy Update/Extension Monthly top-1 momentum rotation among seven Treasury ETFs (BIL, SHY, VTIP, IEI, IEF, TIP, TLT) beat the equal-weighted seven-ETF mix on CAGR in 9 of 12 lookbacks (1–12 months), but…
- Doing Momentum with Style (ETFs) Top 1 style ETF momentum (monthly hold of the best 6-month performer among six iShares Russell value/growth ETFs) had the highest gross terminal value versus SPY and an equal-weighted benchmark,…
- Simple Sector ETF Momentum Strategy Update/Extension Simple sector momentum (monthly hold of the top 1, or equal-weighted top 2 or top 3, of nine SPDR sector ETFs by 10-month return) was not robustly attractive versus SPY…
- Developed Country Stock Index Momentum? A lazy country momentum strategy (semiannual 6-month winners, half of MSCI developed indexes) outperformed MSCI World (13.1% vs 10.3% gross annualized return; Dec 1969–Dec 2024; equal-weighted long-only; 17–23 countries; gross…
- Review of Dual Momentum with Just Three Assets ADM (monthly allocation to U.S. stocks, international small caps or long-term Treasuries using summed 1-, 3- and 6-month returns) had a higher annual Sharpe ratio than VFINX in 1999-2008 (0.67…
- Commodity ETF Co-movement as Predictor of Momentum or Reversal Switching between momentum and reversal on commodity ETFs (DBA/DBB/DBE/DBP; monthly; 20-day vs 250-day average pairwise correlation) produced 14.0% gross annual return vs 7.1% momentum alone and 6.4% reversal alone (end-2007–early…
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- Tech Premium Boost for Simplest Asset Class Momentum Strategy? QQQ-TLT (monthly hold of QQQ or TLT, whichever has the higher trailing return) showed mostly higher gross CAGRs at short lookbacks but uniformly deeper MaxDDs than SPY-TLT across 1-12 month…
- Simple Debt Class Mutual Fund Momentum Strategy Monthly rotation into the top 1-5 of 14 debt mutual funds by 3-month return (equal-weighted; gross of costs) shows terminal values declining with diversification, all above the EW All benchmark…
- QQQ vs. Simplest Asset Class ETF Momentum Strategy? Buy-and-hold QQQ had the highest gross CAGR but also the lowest gross Sharpe ratio versus SPY-TLT momentum (hold SPY or TLT by higher 3-month return, monthly) and 50-50 SACEVS/SACEMS EW…
- Simple Term Structure ETF/Mutual Fund Momentum Strategy Monthly Treasury term structure momentum (top-1 fund by 1–12 month lookback) beat an equal-weighted all-fund mix on gross CAGR in 8 of 12 lookbacks for both ETFs (2002–2023) and mutual…
- Sector Rotation Based on Relative Rotation Graphs RRG-based sector rotation (weekly equal-weighted top 5 of 31 sector ETFs entering the RRG improving quadrant; Wilder Volatility Stop; 2% annual fee) produced 16.8% CAGR, 1.39 Sharpe ratio and -9%…
- Alternative Simplest Asset Class Momentum Strategies Among short lookbacks, QQQ-TLT mostly had the highest gross CAGR, ahead of VUG-BND and SPY-TLT (monthly switch to the asset with the higher trailing return; 1–12 month lookbacks; data Apr…
- Very Simple Asset Class ETF Momentum Strategy (VSACEMS) VSACEMS Top 1 (monthly hold of the SPY/TLT/LQD ETF with highest trailing total return) is somewhat attractive but not preferable to SPY:SMA10 TLT (SPY above its 10-month SMA, else TLT);…
- Machine Learning Applied to U.S. Sector Rotation A weekly deep-learning sector rotation across 11 U.S. sector ETFs beat buy-and-hold S&P 500 (reinvested dividends) by an average 12.6% per year gross (median 7.6%) over 2012–2022; results are gross…
- Complex Multi-Asset Class Momentum Strategy Long-only multi-asset momentum (monthly equal-weighted top five of 13 risk-on ETFs, risk-off substitution) with a correlation divisor had gross CAGRs of 9.8%-12.0% and MaxDDs of -14% to -22% (Dec 2002-May…
- Simple Currency ETF Momentum Strategy Monthly relative momentum among four currency ETFs (UUP, FXE, FXY, CYB) is associated with higher average returns at short lookbacks, but results are unappealing and subject to snooping; gross, frictionless,…
- Complex Offensive/Defensive Asset Class Momentum Bold Asset Allocation (BAA-G12; monthly-rebalanced offensive/defensive ETF momentum, 0.1% one-way frictions) produced 14.6% CAGR, -8.7% max drawdown and 472% turnover (Dec 1970–Jun 2022; modeled pre-inception returns); last-10-year CAGR was 7.8%.
- Very Simple Asset Class ETF Momentum Strategy (VSACEMS) with DBC VSACEMS-SPY-TLT-DBC (monthly Top 1 pick among SPY/TLT/DBC by 5-month lookback total return) had the highest gross CAGR and average return versus SPY and SPY:SMA10 benchmarks, with relatively high volatility (Feb…
- Performance of Mechanical U.S. Stock Momentum ETFs Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled "A Look Under the Hood of Momentum Funds", Ayelen Banegas and Carlo Rosa examine…
- Asset Class Momentum Faster During Bear Markets? SACEMS (monthly rotation into top-ranked asset class ETFs) gross CAGR was more sensitive to lookback interval in S&P 500 bear months (below 10-month SMA) than in bull months; shorter lookbacks…
- Combining Defensive-in-May and Sector Momentum Seasonal-Momentum (cyclical Nov–Apr, defensive May–Oct; top 6-month-return fund per group, semiannual rebalance) beat buy-and-hold SPY on gross CAGR (13.5% vs 10.6%; MaxDD -17% vs -40%; Oct 2006–Oct 2021), but momentum…
- Defensive-in-May Sector Rotation Cyclical-to-defensive sector rotation (cyclicals plus small caps Nov–Apr, defensive sectors May–Oct) outperformed buy-and-hold NAESX and equal-weighted Sector EW (gross CAGR 11.2% vs 10.0% and 8.6%; Apr 1999–Oct 2021; semiannual, in-sample).
- Interest Rate Changes Exploitable for Sector Rotation? Changes in the effective federal funds rate (EFFR) and its 3-month slope show weak links to next-month returns of nine SPDR sector ETFs (average correlations 0.04 and 0.06; Dec 1998–Nov…
- Leading Economic Index Exploitable for Sector Rotation? Leading Economic Index changes offer little support for sector rotation across nine SPDR sector ETFs; correlations with next-three-month returns average 0.00 (monthly change) and 0.01 (3-month average), and quintile results…
- Longer Test of Simplest Asset Class ETF Momentum Strategy 3-month momentum switching between VFINX and VUSTX underperformed VFINX (9.8% vs 10.3% CAGR; Aug 1986–Mar 2021; monthly rebalancing based on prior 3-month returns; switching ~3x annually).
- Cyclical-Defensive Sector Rotation Based on VIX Level VIX-based cyclical-defensive sector rotation generated higher reward-to-risk than S&P 500 (0.71 vs 0.54; Jan 2005–Oct 2020; 100% allocation to favored sectors, equal-weighted, rolling optimization; gross returns).
- Enhancement of Dual Momentum with Just Three Assets? Enhanced ADM with gold underperformed base ADM (9.1% vs 11.6% CAGR ETFs; 10.1% vs 11.0% CAGR mutual funds; Dec 2007-Apr 2020 ETFs, Dec 1988-Apr 2020 mutual funds; momentum-based allocation across…
- Multi-year ETF Momentum ETF momentum strategy outperformed with VW 3-year lookback generating 1.25% monthly return vs underperforming EW approach (Aug 2004–Jun 2018; long top decile, short bottom decile; 50–396 ETFs).
- Asset Class Short-term Momentum Over the Long Run Asset class short-term momentum (not reversal) generates 0.68%-2.37% monthly returns across classes except government bonds (1800-2018; long-short quintile portfolios; up to 261 global assets).
- Simple Momentum Strategy Applied to TSP Funds TSP momentum strategy (3-month lookback, Top 1/EW Top 2) outperformed equal-weighted benchmark (8.6% vs 6.9% CAGR; Jan 2002–Feb 2019; monthly rebalancing; 5 TSP funds), though outperformance weakened over time.
- Country Stock Market Anomaly Momentum Country-level stock market anomalies exhibit momentum over 6-12 month lookbacks, with top-third performers generating 0.80-0.99 vs 0.22-0.42 Sharpe ratios for bottom-third (Jan 1995-May 2015; 16 reliable anomalies from 40 tested;…
- Simple Asset Class Leveraged ETF Momentum Strategy SACEMS leveraged ETF Top 3 outperformed unleveraged version (8.4% vs 7.6% CAGR; Jan 2010–Jan 2019; 4-month momentum, monthly rebal; 2X vs 1X ETFs) but with worse risk-adjusted returns (0.42 vs…
- Testing ETF Momentum/Reversal Strategies ETF momentum/reversal strategies show mixed results, with short-term reversal in U.S. equity ETFs but potential momentum in multi-asset universes (2007-2017; daily rebalanced decile portfolios; 13 universes tested).
- Not the Simplest Asset Class ETF Momentum Strategy QS (5-ETF momentum) outperformed PS (SPY/TLT momentum) (20.3% vs 11.7% CAGR; Apr 2004–Jan 2018; 3-month lookback, monthly rebalancing; includes 0.1% switching costs per trade).
- Industry Rotation Based on Advanced Regression Techniques LASSO-OLS industry rotation outperformed relative momentum (7.3% vs 8.2% annualized return, 0.65 vs 0.50 Sharpe ratio; 1970-2016; long-short quintile hedge portfolios of 30 US industries, monthly rebalancing).
- Extended Simple Momentum Strategy Test of TSP Funds/Proxies TSP momentum strategy (12-month lookback) outperformed equal-weight benchmark (10.6% vs 7.6% CAGR; Feb 1988–Jun 2017; monthly rebalancing; 5 TSP funds with pre-2001 proxies for S&I funds).
- Conservative Breadth Rule for Asset Class Momentum Crash Protection VAA breadth momentum strategy outperformed benchmarks (10-16% vs 7-8% CAGR; out-of-sample 1993-2016; breadth-based crash protection with optimized thresholds; 12 global asset classes).
- Sector Alpha Momentum Strategy? U.S. sector rotation using 36-month Fama-French 5-factor alphas outperformed the S&P 500 (11.1% vs 5.7% gross annual returns; Jan 1964–Dec 2014; long-only on positive-alpha sectors; 10 sectors).
- Finding a Better Safe Haven via U.S. Treasuries Dual Momentum Dual momentum across U.S. Treasuries term structure modestly outperformed fixed-duration safe havens (7.29% vs 6.60% return, 0.32 vs 0.16 Sharpe; 1962-2014; rank-weighted by risk-adjusted excess returns).
- Combining Stock Fundamentals Trend and Price Momentum Dual momentum (stocks ranking high on both fundamentals trend and price momentum) generated 2.16% gross monthly return with 0.26 Sharpe ratio, double the market's Sharpe ratio (Jan 1973–Sep 2015; 88%…
- Deconstructing Industry Stock Return Momentum Trade network feedback strength correlates with intermediate-term industry momentum (0.97% vs 0.33% monthly returns for high vs low feedback; 1972–2014; double-sorted hedge portfolios across 49 industries).
- Suppressing Industry Momentum Strategy Crashes Risk-managed industry momentum (volatility-targeted leverage) outperformed unmanaged momentum (1.92% vs 1.06% average monthly return for 12-2 strategy; Jul 1926–Sep 2014; 49 Fama-French industries).
- Combining Asset Class Diversification, Value/Momentum and Crash Avoidance Trinity portfolio outperformed 60-40 (11.4% vs 9.0% CAGR; 1973-2015; 50% value/momentum screened assets, 50% trend-following overlay; combines global diversification, factor tilts, crash protection).
- Turn-of-the-Year Effects on Country Stock Market Value and Momentum Country-level value strategies underperform in December and outperform in January, while momentum shows the opposite pattern (0.32-0.96% monthly value returns, 0.64-0.74% momentum; June 1995-May 2015; but statistically weak significance).
- Asset Class Momentum Interaction with Market Volatility Asset class momentum shows inconsistent interactions with VIX across measurement intervals; S&P 500 momentum works best at middle/high VIX levels while gold momentum favors below-average VIX (Jan 1990–Apr 2016; in-sample…
- Dual Momentum with Multi-market Breadth Crash Protection PAA2 (dual momentum with high crash protection) outperformed 60/40 (10.4% vs 8.2% CAGR; 1993–2015 out-of-sample; monthly rebalancing of top 6 risky assets from 13-ETF universe with breadth-based safe allocation; 0.1%…
- Time Series and Dual Momentum for Individual Stocks Time series momentum among individual stocks generated 0.70% gross monthly three-factor alpha (12-month lookback, 1927-2014), with dual momentum combining time series and relative momentum achieving 1.88% monthly returns.
- Simple Sector ETF Momentum Strategy Robustness/Sensitivity Tests Sector momentum strategy (rotating monthly to highest-return sector among 9 ETFs) shows erratic sensitivity to ranking intervals, with 10-month optimal but only modestly beating equally-weighted benchmark (Dec 1998–Dec 2015; 0.25%…
- Simple Sector ETF Momentum Strategy Sector ETF momentum strategies underperformed equally weighted benchmarks (4.4-5.0% vs 6.2% CAGR; Dec 1998-Dec 2015; 6-month momentum ranking with monthly rebalancing; 9 SPDR sector ETFs).
- Assessing Jay’s Pure Momentum Sector Fund System Jay's Pure Momentum Sector Fund System outperformed SPY (10.8% vs 6.1% CAGR; 2002-2015; top 5 of 39 Fidelity sector funds by 240-day returns, monthly rebalancing) but underperformed on Sharpe ratio.
- Asset Class Price Momentum Over the Very Long Run Price momentum outperformed equally weighted benchmarks across major asset classes (0.88% monthly for country equities, 0.13% for bonds; 12-month lookback, 2-month skip, 1-month hold; 1800-2014; 47 countries, 301 sectors, 43…
- Simple Asset Class ETF Momentum Strategy Robustness/Sensitivity Tests Asset class ETF momentum strategy (monthly top-ranked selection from 9 ETFs/cash) shows 4-6 month ranking intervals optimal with 9.1% average CAGR (Jul 2003-Apr 2014; 0.25% trading friction; 154 months).
- Reversal-enhanced Simple Asset Class ETF Momentum Strategy? Top 3 Loser modification (reversal-enhanced momentum) underperformed original Top 1 strategy (0.18 vs 0.23 monthly Sharpe ratio; Feb 2006–Feb 2015; monthly rebalancing across 9 asset class ETFs).
- Simple Fidelity Bond Mutual Fund Momentum Strategy Fidelity bond fund 3-1 momentum strategy outperformed equal-weighted benchmark (14.3% vs 6.5% CAGR; May 1994–Jan 2015; monthly allocation to highest 3-month return fund; 10 Fidelity bond funds).
- Simple Asset Class ETF Momentum Strategy as Diversifier SACEMS (5-month momentum across 9 ETFs/cash) shows moderate diversification with SPY (0.29 correlation; Jan 2003-Jan 2015), with 50-50 combinations improving Sharpe ratios but underperforming standalone SACEMS.
- Optimal Monthly Cycle for Simple Debt Class Mutual Fund Momentum Strategy? Simple debt mutual fund momentum strategy using EOM±3 calculation cycles achieved superior risk-adjusted returns (0.36 Sharpe vs 0.31 average; Dec 1994–Jan 2015; 12 funds, 2-month lookback).
- Alternative Sector ETF Momentum Metrics Alternative sector ETF momentum metrics underperformed 6-month return (5.5% vs 4.5%/4.8%/3.9% CAGR; Dec 1998–Dec 2014; monthly allocation to highest-ranking SPDR sector ETF; 0.25% switching costs).
- Simple Asset Class ETF Maximum Momentum Strategy Max 5-1 SACEMS outperformed 5-1 (1.63% vs 1.51% average monthly return; Jul 2002–Dec 2014; momentum from lowest daily close vs monthly close; 8 ETFs plus cash with larger maximum drawdown).
- A Few Notes on Dual Momentum Investing Dual momentum (combining relative and absolute momentum) outperformed buy-and-hold ACWI with 17.43% vs 9.55% annual return and lower volatility (1974-2013; monthly rebalancing; gross returns).
- First Trust Sector/Industry ETF Momentum Strategy FT 5-1 EW Top 5 strategy (monthly top 5 First Trust sector ETFs, 5-month momentum) showed no momentum benefit, with random selection likely performing similarly (May 2007–Aug 2014; gross returns).
- Optimal Monthly Cycle for Sector ETF Momentum Strategy? Sector ETF momentum strategy performance varies dramatically by monthly calculation cycle, with EOM-1 achieving 0.16 return-to-volatility ratio versus 0.05 for EOM-6 (9 SPDR sectors, 6-month lookback; Jan 1999-Jul 2014; 0.25%…
- Buffered Winner Asset Class ETF Momentum Strategy Buffered Winner strategy (holding past winner until new winner beats by 4-5% margin) outperformed base Winner momentum strategy but outperformance concentrated in 2010 (Jul 2002–Jun 2014; 9 asset class ETFs;…
- Unleashing the Snoop Dog on the Simple Asset Class ETF Momentum Strategy? Simple Asset Class ETF Momentum Strategy with asset-specific ranking intervals generated terminal values averaging $456,990 vs $458,393 baseline (Jul 2003–May 2014; 9 assets, 5-month baseline vs 1-12 month variants; extensive…
- Alternative Asset Class ETF Momentum Allocations The EW Top 3 momentum strategy (1.28% monthly return, 3.64% volatility) offers better risk-adjusted returns than pure Top 1 momentum (1.38%, 5.83%) across 9 asset class ETFs (Feb 2006–May 2014;…
- Simplest Asset Class ETF Momentum Strategy? SPY-TLT momentum strategy outperformed Ivy 5 (30%+ vs ~10% average annual return; 2004-2013; 3-month relative momentum switching between SPY/TLT; nominal transaction costs included).
- Hedges/Shorting to Exploit Sector ETF Momentum? Hedging sector ETF momentum (long top, short bottom based on 6-month returns) underperformed basic momentum across three strategies (Dec 1998-Dec 2013; 9 SPDR sector ETFs; monthly rebalancing with 0.25% friction).
- Intrinsic Value and Momentum Across (Futures) Asset Classes Intrinsic value and momentum strategies across 55 futures contracts generated 6.1% and 8.6% gross annual returns respectively with Sharpe ratios of 1.3 and 1.2 (1980-2012; inverse volatility weighting).
- Beta, Value and Momentum for Industries Low-beta industry portfolios underperformed high-beta portfolios (2.6% lower annualized return; 1994-2009; monthly sorts on 60-month rolling beta, 1-month hold; 48 US industries).
- Limited-choice Asset Class Momentum Strategy Limited-choice SACEMS (5-month momentum across equity/alternative classes when S&P 500 above/below 10-month SMA) underperformed unconstrained SACEMS (1.45% vs 1.58% average monthly return; Jul 2002–Nov 2012; 8-9 ETFs plus cash).
- Style and Sector Index Momentum Style indexes exhibit stronger momentum than sector indexes (13.4% vs 6.7% annualized gross returns; 6-month ranking/holding; Jul 1997–Oct 2007; long-short equally weighted portfolios).
- Mutual Fund Alpha Momentum Alpha momentum fund selection outperformed Russell style benchmarks (3.19% average annual compound margin; Jun 1999–Dec 2011; 60-80 day alpha calculation, 95-145 day rebalancing optimal; 225 style/interval combinations).
- Combining Sector and Asset Class ETF Momentum Combined sector-asset class momentum strategy performed similarly to asset class momentum alone (1.44% vs 1.43% average monthly returns; Jul 2002-Apr 2012; 6-1 momentum, 0.25% friction; 118 months).
- Combining Sector and Style ETF Momentum Combined sector-style ETF momentum underperformed separate strategies (elevated switching friction, unlucky 2008-2009 switches; Aug 2001–Apr 2012; 6-1 monthly strategy across 15 ETFs).
- Melding Momentum and ETF Portfolio Management Practices ETF momentum strategy outperformed benchmarks (9.6% vs -1.3% S&P 500 annualized; 2000-2011; 6-month ranking, top 25% selection from ~100 ETFs; 100 trials of 10-ETF portfolios, gross returns).
- Amplifying Momentum with Negatively Correlated Funds? Paired-switching momentum on negatively correlated ETF pairs outperformed components (15.0% vs 10.2%/7.1% SPY/TLT; 20.1% vs 6.8%/7.1% EFA/TLT annualized; Oct 2002–Jun 2011; 13-week rank/hold; gross returns).
- ETF Momentum Strategy Updates/Extension Over the past few days, in the background, we have updated and rationalized "Simple Sector ETF Momentum Strategy" (update pending) and "Doing Momentum with Style (ETFs)" (update just published). Updated means adding data…
- Leveraged Style ETF (2X and -2X) Momentum Strategy Leveraged style ETF 6-1 momentum strategy underperformed SPY buy-and-hold with much higher volatility (Apr 2007–Nov 2011; monthly rebalancing across 12 ProShares 2X/-2X Russell style ETFs; 56-month sample).
- Leveraged Sector Fund Momentum Strategy 6-1 leveraged sector momentum underperformed SPY; 6-1 with SMA10 cash filter achieved highest average monthly return with lower volatility (Dec 2000–Nov 2011; 7 ProFunds 1.5X sector funds).
- Asset Class Momentum Strategy COP strategy outperformed S&P 500 (16.7% vs 8.7% average annual return; 1992–2011; monthly top-8 asset class momentum selection with half-month delay; 51 fund universe).
- Combining Return Reversal and Industry Momentum Combined reversal-industry momentum strategy outperformed both conventional reversal and industry momentum strategies (4.08% vs 3.25% vs 1.59% gross monthly returns; Jan 1931–Dec 2010; monthly rebalancing; Fama-French 10 industries).
- Enhancing/Streamlining Asset Rotation Binary Decision Charts (BDCs) reduce trade frequency and tend to enhance per-trade returns compared to single-asset approaches by analyzing asset ratios rather than individual prices (1950-2010; S&P 500 vs cash…
- Which Kind of (ETF) Momentum Is Best? Geographic ETF momentum outperformed style and sector momentum (Sharpe ratios 0.64 vs lower; 2003-2010 ETF data; 6-month ranking, top 2-3 selections monthly; short 8-year sample).
- Momentum Timing of Junk Bond Fund? Junk bond fund momentum shows weak predictive power (6-month past returns explain 2% of next-month variance; Sep 1990–Jul 2010; PRHYX vs T-bills), with timing strategies roughly matching buy-and-hold performance.
- Industry/Asset Class Momentum Over the Long Run Monthly momentum portfolios holding the top 1–3 of ten U.S. equity industries outperformed an equally weighted ten-industry portfolio by roughly 3%–6% per year gross (July 1926–Dec 2009; global asset classes…
- Perfect Sector Rotation Perfect business cycle foresight with conventional sector rotation outperformed the market (2.3% annually; 1948-2007; NBER cycles), but realistic timing errors and trading frictions eliminate statistically significant outperformance.
- Any Tools to Implement Value-Momentum Asset Class Allocation? The post discusses combining asset class value rankings (risk-adjusted yield measures with structural adjustments) and momentum rankings across 12 asset classes, but notes no implementation tools currently exist.
- Mutual Fund Momentum Measure Fly-off Mutual fund momentum strategies generated 2.9-4.9% annualized risk-adjusted excess returns, with six-month return ranking strongest initially but sensitivity to stock momentum most persistent (1970-2004; top 10% funds, six-month holds).
- Enhancing Asset Class Momentum with Downside Risk Avoidance? Momentum with downside risk avoidance (return-to-downside standard deviation ratio) did not materially enhance performance versus pure momentum for tactical allocation across SPY/TLT/IWM (Jul 2002–Aug 2009; monthly rebalancing).
- Combining Value and Momentum Across Asset Classes Value-momentum combinations delivered superior Sharpe ratios versus either strategy alone across global stocks, bonds, currencies, and commodities (monthly rebalancing; broad international samples; value and momentum negatively correlated).
- Time for Momentum ETFs? Momentum indexes outperformed Russell 1000 over 12-month periods, with maximum momentum generating ~40% turnover (Jun 1995–Jun 2007; 12-month formation/holding periods; before trading costs).
- Sector Rotation vs. Stock Picking Stock picking contributed more than sector allocation to average equal-weighted quarterly fund returns before fees (0.52% vs 0.36%; 3,350 U.S. equity mutual funds, 1980-2005; 113,614 fund-quarters; sector-neutral benchmarks; descriptive).
- Exploiting Industry Momentum Via ETFs? Industry momentum via sector ETFs generated 5% annual abnormal returns before trading frictions but profits disappeared after accounting for bid-ask spreads and transaction costs (Jul 2000–Nov 2007; long-short strategy).
- Combined Value-Momentum Tactical Asset Class Allocation Combined value-momentum tactical allocation across 12 asset classes outperformed a long-short hedge approach (9% annualized before costs vs benchmarked quartiles; Jan 1985–Sep 2007; 25% 1-month momentum/25% 12-1 momentum/50% valuation weighting,…
- Sector Rotation Based on Monetary Policy Sector rotation based on Fed discount rate changes outperformed equal-weighted sectors (3.49% annual excess return; 1973-2005; cyclical sectors during easing, defensive during tightening; 14 policy shifts).
- Combining Momentum and Value for Industry Rotation Value-momentum industry rotation outperformed pure value or momentum by over 12% annually, with yield curve regime determining optimal style emphasis (36 global industries; 1973-2005; top value+momentum vs bottom performers).
Stock momentum
187 articlesMomentum among individual stocks: the premium, crashes and refinements.
- Add a Simple Momentum Filter to the BGSV Portfolio? A 1-month momentum filter lowered BGSV (monthly equal-weight GBTC/GLD/SVXY) net CAGR to 14% from 22% without the filter, and cut maximum drawdown to -44% from -63% (Jul 2015–Jul 2026; 1%…
- When Equity Market Momentum Does and Does Not Work Equity market TSMOM works best at mid-valuation ranges and fails near historical extremes; a Boundaries variable (squared scaled term spread plus squared scaled CAPE or dividend yield) negatively predicts returns…
- How Best to Combine Value and Momentum? Separate value and momentum long-short portfolios had a higher volatility-scaled gross return than one combined-score portfolio, by 0.5% annualized (1,000 largest U.S. stocks; Jan 2000–Dec 2025; 100 long/100 short; gross…
- Adding a Timing Rule to NASDAQ 100 Momentum Portfolios Applying 2- to 24-month SMA timing rules to QQQ-based Top 5 and Top 10 NASDAQ 100 momentum portfolios (T-bills when QQQ is below its SMA) almost always reduced MaxDD but…
- Top 5 or Top 10 NASDAQ 100 Momentum Stocks? Top 5 and Top 10 NASDAQ 100 momentum portfolios showed deeper maximum drawdowns and lower gross annual Sharpe ratios than buy-and-hold QQQ (monthly picks by trailing 12-month return; returns from…
- USD Debasement Momentum Strategy? Monthly momentum rotation (Winner: holds the highest prior-month return of VTIP, GLD or BTC-USD; 1-month lookback) outperformed an equal-weighted, monthly rebalanced three-asset portfolio (73.3% vs 35.0% CAGR; Sep 2015–Dec 2025;…
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- Momentum Investing Robustness Over the Long Run US long-short momentum earned 8.8% (value-weighted) and 9.0% (equal-weighted) average gross annualized returns (1866–2024; top NYSE 80% by market cap, quintiles on 12-1 month returns, monthly rebalance); gross of costs,…
- ChatGPT-enhanced Stock Momentum ChatGPT-enhanced momentum (monthly long-only top-quintile S&P 500 stocks, news-signal weighted) beat conventional momentum out-of-sample (Sharpe 1.06 vs 0.79; MaxDD -17% vs -19%; Jan 2024–Mar 2025; 0.02% trading frictions; short sample).
- Predictable Bitcoin Momentum or Reversion? Bitcoin daily, weekly and monthly autocorrelations and next-week returns versus 13-week high/low proximity show small correlations (0.05 and 0.08) suggesting slight momentum, little reversion (Sep 2014–Oct 2025; non-overlapping intervals; descriptive;…
- Half-day Momentum and Reversal in Stock Options U.S. stock option returns show half-day momentum at even lags and reversal at odd lags, with daily long-short deciles earning 0.22% (intraday) and 0.45% (overnight) gross momentum returns per half-day…
- Fast Factor Momentum? A 1-month lookback factor momentum portfolio shows highly statistically significant 6-factor alpha, and 1-month versus 12-month lookbacks raise the share of factors with significant time series momentum from 19.6% to…
- Exploiting Simple Information Ignored by Conventional Momentum Filter 8 momentum (long/short deciles always ranked top/bottom across eight overlapping 12-2 windows, reformed every eight months) beat monthly 12-2 momentum (16.0% vs 11.8% net annualized; U.S. stocks, 1927–2022; 0.25%…
- Full Tilt SACEVS-SACEMS Relative Momentum SACEVS-SACEMS Momentum (holds SACEVS Best Value or SACEMS EW Top 2, whichever had the higher past return) shows modestly higher gross CAGR for lookbacks over 3 months but deeper MaxDD…
- Momentum a Proxy for Earnings Growth? Momentum is associated with future earnings growth and largely disappears after controlling for actual future earnings; a one-factor growth-adjusted value model is competitive with the 4-factor model (Russell 3000 from…
- Momentum Based on Day of Week Same-Weekday Momentum (daily-reformed, value-weighted decile hedge on past same-weekday returns) generated 2.05% average gross monthly return vs 1.28% for Standard Momentum (U.S. stocks, 1963-2021; gross of trading costs).
- Trend Clarity as Driver of Momentum Returns Among top-momentum U.S. stocks, those with high price trend clarity (R-squared of 12-month daily price vs. date) earned 5.67% average gross 6-month return vs. 2.53% for conventional momentum (equal-weighted; 1927–2020;…
- Exploitable Commodity Futures Factor Momentum? Commodity futures factor momentum (monthly long/short of equal-weighted factors with positive/negative prior-month returns; 1-month lookback) earned 4.4% gross annualized; winners 8.2%, losers -0.4% (10 factors, 36 futures; Jan 1985-May 2022).
- Multi-class Network Momentum Network momentum strategy (graph model of cross-asset momentum spillover; 64 commodity, equity, bond and currency futures; daily) produced 7% gross annualized return and 1.36 gross Sharpe ratio in out-of-sample testing…
- Simplified Offensive, Defensive and Risk Mode Identification Momentum Strategy HAA-Balanced (TIP-signaled offensive/defensive switch across SPY/IWM/VWO/VEA/VNQ/DBC/IEF/TLT, monthly, 0.1% one-way costs) had 15.9% CAGR, -9.7% max drawdown, 1.21 Sharpe, but 8.5% CAGR over the last 10 years (Dec 1970–Dec 2022; modeled…
- Stock Neighborhood Momentum Effect Sorting stocks on past-year average return of 1,000 neighbors (most similar on 94 characteristics) yields a long-short decile portfolio with 2.36% gross monthly return across the broadest universe (1980–2021; value-weighted,…
- Enhancing Momentum with Multi-lookback Winners/Losers OMOM (long/short value-weighted MOM-decile stocks also in the top/bottom decile of 6-month returns) beat MOM on gross returns (10.9% vs 7.2% annualized, 9-month hold; U.S. stocks priced over $5, Dec…
- Stock Momentum Exploiting All Price Data in a Lookback Interval Fractional-differencing momentum (weekly-reformed, 250-day lookback, long-short quintiles) raised gross returns versus conventional momentum, with d=0.9 value-weighted full U.S. sample earning 2.16% monthly, Sharpe 1.79, but profits declined across subperiods (1972–2020;…
- Morning Momentum and Afternoon Reversal for Stock Returns Equal-weighted long-short deciles formed on past afternoon returns earned higher gross monthly returns than conventional 1-month reversal (0.79% vs 0.48%), while morning-return ranking matched conventional momentum (1.05% vs 1.06%; U.S.…
- Do Individual Investors Effectively Exploit Stock Momentum? Stocks with high return-chasing retail ownership underperformed (long lowest/short highest RCO quintile, monthly rebalanced: 15.3% gross annualized return, 0.94 Sharpe; Shanghai Stock Exchange, Jan 2011–Dec 2019; 18 million retail investors;…
- Proximity to 52-week High and Short-term Momentum/Reversal High-turnover winner stocks near 52-week highs outperformed those far from highs (1.51% vs -0.95% average gross monthly return; U.S. stocks, Jul 1963–Dec 2020; 125 sequential sorts, value-weighted); loser stocks showed…
- Intraday and Overnight Return Momentum and Reversal Signals Past intraday returns predict short-term reversal and momentum (gross monthly 3-factor alphas of -1.41% and 1.17%), while past overnight returns predict only long-term reversion (-0.45%) (U.S. stocks, 1963–2019; decile hedge…
- Finding Stocks with Persistent Momentum Enduring momentum (long/short 10 stocks with highest model-predicted persistence from 37 firm characteristics, 6-month hold) outperformed conventional winner-minus-loser decile momentum (2.19% vs 1.12% gross monthly return; 1980–2018; gross of costs).
- Economic Surprise Momentum Growth surprise nowcasts show short-term momentum and are associated with higher next-month stock index futures returns (gross Sharpe 0.50 global vs 0.36 for global equities; 1-factor alpha 2.1%; 191 variables,…
- What Explanation for Momentum Works Best? Frog-in-the-pan explains international momentum best among tested hypotheses; gross winner-minus-loser decile returns averaged 10.6% annualized and were positive only after positive 36-month market returns (1993–2020; 22 developed, 27 emerging markets;…
- Momentum and Reversal Drivers for Large U.S. Stocks S&P 500 stock 12-month momentum and 1-month reversal are highly statistically significant in t-statistics, with sector and factor momentum together accounting for most momentum but reversal mostly stock-specific (Jan 1995–Dec…
- SPY-TLT Allocation Momentum? SPY-TLT allocation momentum (daily choice among 11 SPY/TLT mixes by best 63-day mean-to-standard-deviation return ratio) sees even low frictions materially reduce CAGR (Jul 30, 2002–Apr 20, 2021; 1,187 allocation changes;…
- Stock Factor/Anomaly Momentum Time Series Winners factor momentum strategy outperformed benchmark (5.9% vs 4.1% annualized return; Jul 1963–Dec 2019; long factors with positive 12-1 month momentum, monthly rebalancing; 15 U.S. stock factors excluding…
- Stock Option Momentum and Seasonality Stock option straddles exhibit momentum and seasonality patterns, with 12-month momentum generating 6.6% gross monthly return and Sharpe ratios 3x higher than stocks (Jan 1996–Jun 2019; zero-delta straddles, monthly rebalancing;…
- Size as Catalyst for Value and Momentum Size factor produces weak standalone premiums (0.02%-0.60% monthly gross U.S.; insignificant internationally) but materially boosts value and momentum factors when overweighting small-cap segments (Jul 1963-Dec 2019; factor regressions).
- Exploiting Stock Anomaly Value and Momentum Value and momentum timing of 13 U.S. stock anomaly portfolios outperformed equal-weighted benchmark (1.08% vs 0.66% monthly excess return; Jan 1975–Dec 2014; top 7 selection, monthly rebalancing).
- Retail Trading Drives Stock Momentum? Momentum portfolios restricted to stocks with high retail trading proportions outperformed those with low proportions (1.51% vs 0.09% average monthly returns; 2004–2014 excluding financial crisis; lottery index proxy extends to…
- Long-only Stock Momentum with Volatility Timing W10-Timed (long-only momentum with volatility exit at 27% threshold) avoided momentum crashes and performed competitively with broad markets (2005-2018; 6-month volatility lookback; gross returns).
- Stock Momentum Strategy Risk Management Horse Race iMOM (idiosyncratic momentum using factor residuals) outperformed base momentum (0.95 vs 0.47 Sharpe ratio; July 1926–December 2017; monthly rebalancing; U.S. stocks) with shallower drawdowns (-26% vs -67%).
- Combining RSI Range and RSI Momentum for Stocks RSI Bull Range-Momentum signals achieved 45-58% success rates with 1.84-2.40 profit/loss ratios across S&P 500 stocks (Jul 1998–Jun 2018; gross returns, trade-level analysis).
- Optimal Long-Short Stock Momentum Strategies in European Markets Optimal long-short stock momentum strategy parameters vary across nine European markets (Dec 1989–Jan 2018), with optimal gross monthly returns ranging from 0.75% (Greece) to 1.69% (Sweden); 576 variations tested per…
- Intrinsic (Time Series) Momentum Everywhere? Intrinsic momentum (12-month lookback) generated 1.60 gross Sharpe ratio across 140 assets and 16 equity factors, with low correlations (0.04-0.07) enabling diversification benefits (Jan 1985–Dec 2017; 40% vol-scaled positions).
- Ubiquitous Equity Factor Momentum? Factor momentum (scaling exposure based on past factor returns) outperformed individual factors for 61 of 65 U.S. equity factors (12% annual return, 0.84 Sharpe ratio; 1965-2017; monthly rebalancing).
- Sophisticated Simulation of Intrinsic (Time Series) Momentum Time series momentum strategies show weak out-of-sample performance, with Monte Carlo simulations indicating 9-53% probability of outperforming buy-and-hold on Sharpe ratio (S&P 500 futures, multi-asset portfolios; 1985-2018; 9-12 month lookbacks).
- Momentum and Bubble Stocks Bubble stocks (high shorting demand, low institutional ownership) show reversed momentum effects, with bubble winners generating -1.28% monthly 4-factor alpha versus -1.30% for bubble losers in year 1, then -0.75%…
- Momentum and Stock Return Dispersion Return dispersion portfolios outperformed momentum (1.50% vs 0.94% average monthly return; Jan 1964-Dec 2017; long top decile/short bottom decile by 12-month sensitivity, monthly rebalancing; broad U.S. stocks >$5).
- Commodity Futures Momentum and Reversal Commodity futures momentum strategies outperformed S&P GSCI across multiple risk metrics, while reversal strategies showed no significant profitability (Jan 1979–Oct 2017; 4 strategies, 29 futures; 189 formation-holding combinations).
- Multi-class Momentum Portfolio with “Canary” Crash Protection DAA outperformed VAA by CAGR across 3 of 4 asset universes but with higher maximum drawdowns (Mar 2008–2018; separate canary universe of VWO/BND for crash protection; in-sample optimization 1971–1993).
- Betting Against Beta, Plus Market Momentum BAB timing strategies based on past market returns beat the market but underperformed basic BAB (0.67-0.71 vs 0.99 Sharpe ratios; Feb 1931-Feb 2018; long/short BAB based on detrended past returns;…
- Alternative Momentum Metrics for SACEMS? Sharpe ratio momentum marginally outperformed total return momentum for SACEMS EW Top 3 (Feb 2006–May 2018; monthly rebalancing across 9-asset universe; gross returns), though differences were small.
- Intrinsic (Time Series) Momentum Does Not Really Exist? Time series momentum shows weak evidence in individual assets (8 of 55 significant at 10%; Jan 1985–Dec 2015; monthly returns vs past 12-month returns; 55 futures/forwards across commodities, equities, bonds,…
- Interaction of Short-term Stock Momentum/Reversal and Share Turnover Short-term reversal enhanced by low turnover filtering outperformed conventional reversal (1.41% vs 0.35% monthly excess return; Jul 1962–Dec 2016; double-sort on prior-month return then turnover; U.S. stocks).
- Simple Volatility-Payout-Momentum Stock Strategy Conservative Formula (low volatility + high net payout yield + momentum, top 100 of largest 1000 stocks) outperformed value-weighted market (15.1% vs 9.3% gross CAGR; 1926–2016; quarterly rebalancing; U.S. stocks).
- Momentum Investing in a Nutshell? Roncalli argues momentum performance links absolute asset Sharpe ratios and pairwise correlations to optimal strategy choice, with intrinsic momentum best for uncorrelated multi-asset classes and relative momentum best for correlated…
- Volatility Scaling for Momentum Strategies? CVS and DVS momentum strategies delivered higher returns (15.3% vs 11.5% annualized) but suffered poor risk-adjusted performance with deep drawdowns (-64%, -53%) versus Buy-and-Hold strategies (Nov 1991–May 2017; 55 futures).
- Live Test of Sophisticated Long-only Stock Momentum Investing Institutional long-only momentum funds averaged 80-90% annual turnover with 0.13% transaction costs, with US Large Cap outperforming matched indexes by 0.9% annually (Jul 2009–Dec 2016; live fund data).
- Momentum Risk Premium Theory Jusselin et al. argue trend-following performance depends on correlation structure, linking zero correlations to intrinsic momentum success and high positive correlations to relative momentum success (2000-2017; theoretical model with empirical…
- Acceleration Stock Momentum Strategy Acceleration momentum outperformed conventional momentum (0.95% vs 0.63% monthly gross return; Jan 1962–Dec 2014; quadratic price fitting, 12-month ranking, 6-month holding; U.S. stocks >$5).
- Stock Momentum Strategy Risk Management with and without Leverage Positive semi-variance risk scaling outperformed conventional momentum (0.75 vs 0.45 gross Sharpe ratio; 1927-2016; monthly rebalanced long-short decile portfolios; U.S. stocks).
- When to Look for Momentum and Reversal Intraday First 2-hour momentum outperformed conventional momentum (0.82% vs 0.36% gross monthly 4-factor alpha; 1993-2014; long-short decile portfolios, 6-month ranking, 1-month skip, 1-month hold; broad U.S. stocks).
- Average Past Return Sign Momentum RSM momentum strategy (based on average signs of 12 monthly returns) outperformed time series momentum (11.9% vs 10.3% annual return, 0.96 vs 0.79 Sharpe ratio; Jan 1985-Mar 2015; 55 futures…
- Currency and Cryptocurrency Exchange Rate Momentum Tests Time series momentum outperformed cross-sectional momentum across currency groups (Sharpe ratios: G10 0.53 vs 0.27, non-G10 0.82 vs 0.78, crypto 1.62 vs 1.48; 1974-2017; EMA-based signals; gross returns).
- Idiosyncratic (Pure or Residual) Momentum as a Stock Return Predictor Idiosyncratic momentum outperformed conventional momentum (0.48 vs 0.25 monthly Sharpe ratio; Dec 1925–Dec 2015; volatility-adjusted residual returns from Fama-French 3-factor model, monthly rebalanced WML portfolios; U.S. stocks).
- Momentum-Contrarian Equities Switching Strategy Dynamic momentum strategy outperformed conventional momentum (17.4% vs 10.0% equal-weighted returns; 1927-2015; switches to contrarian for 3 months after market plunges; in-sample threshold).
- Robustness of Pure Stock Momentum and Reversal Residual momentum and reversal strategies outperformed conventional versions on risk-adjusted basis (1.28 vs 0.74 Sharpe ratio for momentum, 1.18 vs 0.22 for reversal; U.S. stocks 1986-2008; quintile portfolios purged of…
- Intraday Stock Price Momentum and Reversal Trading Intraday cross-sectional strategies show profitable patterns, with extreme morning winners and losers both earning positive afternoon returns (19.4% vs 15.6% annualized during 15:30-16:00; Jan 1993–May 2010; U.S. stocks excluding microcaps).
- Corporate Bond Volatility-adjusted Credit Premium Momentum Volatility-adjusted credit premium momentum outperformed among U.S. corporate bonds (0.27% monthly gross 7-factor alpha; Jan 1994–Dec 2015; 6/1-month formation/holding, inverse volatility weighting).
- U.S. Corporate Bond Yield-based Momentum Lin, Wu and Zhou find pervasive yield-based momentum across U.S. corporate bonds, with gross monthly returns of 0.97% (quintiles) to 1.48% (deciles) using cross-sectional regressions on yield SMAs (Jan 1973–Sep…
- Stop-losses to Avoid Stock Momentum Crashes? Stop-loss momentum outperformed conventional momentum (1.93% vs 0.99% monthly return; Jan 1926–Dec 2013; 15% threshold with complex limit orders; equal-weighted long-short decile strategy).
- Momentum in Commodity Futures and Reversion in Spot Commodity spot prices exhibit mean reversion while futures show momentum, with 12-month futures momentum generating 16.1% annualized gross return vs -2.0% for underlying spots (1965–2014; tercile portfolios).
- Add Equity Style Momentum Underlay to SACEVS? Equity style momentum underlay performs inconsistently within SACEVS, showing 5.2% vs 4.8% CAGR over value ETF (Oct 2000–Jul 2016) but underperforming when excluding 2000-2002 bear market (Jul 2002–Jul 2016).
- Integrating Momentum and Value Stock Exposures Integrated momentum-value portfolios outperformed mixed portfolios (3.6% vs 2.5% annualized alpha; Feb 1993–Dec 2015; equal-weighted monthly rebalancing vs MSCI World Index; developed market large-caps).
- Implications of 52-Week Highs and Lows for Stock Returns 52-week low portfolio generated 0.43% gross monthly returns with 0.48 Sharpe ratio vs momentum's 1.36%/0.66 Sharpe (July 1962–Dec 2014; value-weighted portfolios; bottom 10% vs top 90% by nearness to 52-week…
- Integrating Value and Momentum Stock Strategies, with Turnover Management Value-momentum integration strategies outperformed 70% value/30% momentum combinations on net Sharpe ratio basis (large/small cap stocks; Jan 1974–Dec 2013; monthly rebalancing with 90-70 buy-sell thresholds).
- Intricate Stock Return Momentum Tree-based conditional portfolio sorts outperformed simple momentum (2.3% gross monthly return; 1963-2013; long-short decile portfolio using 24-month past returns to predict 12-month future returns; broad U.S. stocks sample).
- Momentum Strategy Performance for German Stocks Long-only momentum outperformed the German market (1.32% vs 1.05% monthly; Jan 1955-Jun 2014; ranking on 12-3 month returns, value-weighted excluding microcaps; broad German stock sample).
- Stock Anomaly Momentum Strategy Anomaly momentum strategies outperformed equally weighted anomaly benchmark (1.28% vs 0.63% monthly return for top 3-bottom 3; 1976-2013; long-short top/bottom anomaly portfolios by prior-month performance; 15 stock anomalies).
- When Carry, Momentum and Value Work Cross-sectional and time-series carry, momentum and value strategies across 87 futures/swaps achieved 1.61 gross Sharpe ratio (Jan 1990–Apr 2015; daily rebalancing, 15% vol target per asset class).
- Short-term, News-driven Stock Momentum News-driven momentum hedge portfolio outperformed conventional momentum (40.1% vs 23.9% gross annualized return; Mar 2000–Oct 2012; long/short deciles, 5-day hold, 15-minute rebalancing; broad U.S. stocks).
- Return Acceleration More Effective than Momentum? Return acceleration outperformed momentum factor (12% vs 7% annualized gross excess return; May 1963–Dec 2013; long/short decile strategy, monthly rebalancing; broad U.S. stock sample).
- Valuation/Trend Hedging of a Value and Momentum Stock Portfolio Value-momentum stock strategy with valuation/trend hedging outperformed S&P 500 (15.6% vs 10.0% annualized; 1964-2014; hedged portfolio suppressed drawdown to -27% vs -51%; monthly rebalancing of top 200 stocks).
- Stock Size and Momentum Strategy Profitability Worldwide Momentum strategies generate statistically significant net returns primarily among medium-sized stocks across 23 countries, with small winners driving gross profitability but trading frictions limiting exploitability (1985-2012 US; 1991-2012 other markets;…
- Stock Momentum Based on Persistent Winners and Losers Persistent momentum strategy (winners/losers in top/bottom decile for 2+ consecutive months) outperformed conventional momentum (1.25% vs 1.06% gross monthly return; 1980-2011; 6-month ranking intervals, monthly rebalancing; U.S. stocks).
- Best Stock Momentum Strategy Crash Indicator? Change in momentum volatility outperformed six other crash indicators for stock momentum strategies (1.10 vs 0.59 Sharpe ratio; 1926–2013; binary signals based on 5-year lookbacks; U.S. stocks).
- Overnight Momentum-informed Overnight Trading Overnight Bias Portfolio (stocks with significantly positive overnight momentum) outperformed market portfolio (25.9% vs 10.0% annualized; 1995-2014; monthly OBP sorts, value-weighted; ~20% of reasonably liquid U.S. stocks).
- Relative vs. Intrinsic Past Return Reversal, Momentum and Reversion Intrinsic past return strategies outperform relative strategies for U.S. stocks (e.g., +8.0% vs +2.3% for 6-month ranking/1-month holding), but differences stem from intrinsic portfolios being net long rather than superior…
- Momentum in a Mean-variance Optimization Framework Classical Asset Allocation (CAA) outperformed equal weighting across asset universes (Jan 1914–Dec 2014; momentum-based mean-variance optimization with 1-12 month lookbacks; monthly rebalancing; 8/16/39 asset universes).
- Skewness-enhanced Stock Momentum Skewness-enhanced momentum outperformed benchmark momentum (1.65% vs 0.81% value-weighted monthly returns; Jan 1926–Dec 2011; long winners/short losers with low/high expected skewness; U.S. stocks).
- Summarizing Value (and Momentum) Investing Value strategies work best combined with other factors, with value-momentum-profitability portfolios achieving 0.84 gross Sharpe ratio vs 0.46 for value alone (Jul 1963–Dec 2014; hedge portfolios).
- Momentum Strategy Winners Adjustment The order of the first and second place winners is now reversed from that shown at the close yesterday because of a price change on Yahoo!Finance after 4:00PM.As of 4:00PM, the…
- Momentum Risk Management Strategies Dynamic momentum strategies using change in volatility of momentum returns as crash predictor outperformed static momentum (1.10 vs 0.59 annualized Sharpe ratio; January 1926–December 2013; long-short decile hedge portfolio).
- Momentum Happens at Night? Intermediate-term momentum returns occur overnight (0.89% vs -0.18% monthly), while value and size effects occur intraday (1993-2013; cap-weighted decile strategies; broad U.S. stocks excluding smallest quintile).
- Correction to Momentum Strategy Winners We have corrected the Momentum Strategy winners list for January 2015 (to be held during February 2015). The third place winner was incorrect due to omission of a dividend.
- Profitability Momentum as a Stock Return Indicator Stocks with highest versus lowest profitability trends generate 0.83% gross monthly returns (Jan 1977–Dec 2012; monthly long-short portfolios; broad U.S. stocks with 8-quarter linear slope in gross profit margin).
- Momentum-driven Turn-of-the-month Effect in Commodity Futures Trend-following commodity futures returns concentrate during turn-of-month periods, with 90% of Newedge Trend Index cumulative returns occurring during three monthly TOM days (Jan 2000–Mar 2014; effect strongest in illiquid commodities).
- Market Liquidity Necessary for Momentum Strategy Profitability? Market illiquidity predicts reduced momentum strategy profitability, with high illiquidity reducing gross returns by 0.87% monthly (correlation -0.26; Jan 1926–Dec 2011; price momentum long-short deciles).
- 140-year Stock Momentum Strategy Crash Test Stock momentum strategies crash during easy borrowing and after strong performance; conventional momentum generated 0.69%/0.55% monthly returns but suffered 5%+ declines every 15-16 months (1926-2012 US; 1866-1907 UK samples).
- Momentum as Moderator of Portfolio Rebalancing Risk A momentum overlay reduces drawdowns and improves Sharpe ratios for rebalanced 60% S&P 500/40% T-note portfolios (Jan 1990–Feb 2014; complex daily MA crossover with 10% target vol, 400% turnover).
- Turn-of-the-Quarter Effect on Stock Momentum Stock momentum profits concentrate in third months of quarters post-1982 (3.75% vs 1.26% first months; 1983–2013; 12-1 momentum hedge portfolio; NYSE/AMEX/NASDAQ stocks).
- Enhanced Commodity Futures Momentum Strategies Enhanced commodity futures momentum strategies (selecting optimal contract expirations) outperformed nearest-expiration benchmark (8.4% vs 4.0% annualized return for low-turnover variant; Jan 1990–Sep 2011; S&P GSCI components).
- Can Individuals Exploit Stock Momentum? Optimal 5-8 stock momentum portfolios outperformed S&P 500 by 2%+ monthly (2.63%+ vs 0.63%; 1991-2010; 6-month ranking, 12-month holding, equal-weighted; 2,201 average stocks).
- Cyclical Behaviors of Size, Value and Momentum in UK UK equity factor premiums vary cyclically; size premium positive during economic uptrends, negative during downtrends, while momentum premium stronger during downtrends (Jul 1982–Dec 2012; contemporaneous relationships).
- Value-Momentum Switching Based on Value Premium Persistence Small value-small momentum timing strategy outperformed both components (19.7% vs 13.4% value, 16.1% momentum annualized returns; 1985-2013; HML factor signals, cash filter; Fama-French portfolios).
- Testing Size, Value and Momentum Return Predictors Size, value and momentum factors generate 2.1%, 4.5% and 9.0% gross annual returns respectively, but most of 17 tested indicators show little predictive power beyond historical averages (1950-2012; monthly/annual regressions).
- Momentum-boosted Practical Approach to MPT MAA model outperformed EW benchmark across risk-adjusted metrics (Dec 1997–Dec 2013; tactical MPT with 4-month absolute momentum filter, shrinkage parameters; 10/35 ETF, 104 stock-bond universes).
- Momentum and Beta Asymmetry Momentum portfolios exhibit substantially higher downside than upside market betas across U.S. stocks, global stocks, country indexes, and currencies (WML returns 7.8%-14.3% annualized; 1927-2013; 12-1 month formation).
- Value vs. Growth with Trend/Momentum Filters Value outperformed growth across periods (0.47 vs 0.35 Sharpe ratio for developed markets since 1976), with SMA10 trend filter boosting both while momentum filters improved growth more than value stocks.
- Mocking Momentum Myths Asness et al. rebut momentum investing criticisms, showing momentum generated 6.3% annualized premium vs 3.6% for value (1991-2013; standard 12-1 month momentum; academic papers/French data).
- Avoiding the Momentum Crash Crowd Non-crowded momentum (winners vs. highly-shorted losers without institutional exits) outperformed baseline momentum (22.1% vs 12.6% gross annual return; Jan 1980–Sep 2012; monthly rebalancing).
- Enhancing Momentum with Relative Trend Strength Salient momentum (selecting winners/losers with strongest relative trend strength) outperformed conventional momentum (0.19 vs 0.11 gross monthly Sharpe ratio; Jan 1992–Dec 2011; Australian top-500 stocks; 6-month salience/holding intervals).
- Futures Momentum Strategies and Financial Crises Futures momentum strategies underperformed during global financial crises (4.0% vs 13.6% excess return; 2-4 years post-crisis vs other periods; vol-weighted 1-12mo momentum across equity/bond/FX/commodity futures; 1921-2013).
- Tactical, Simplified, Long-only MPT with Momentum MAA (tactical MPT using 4-month momentum, shrunken volatility estimates) outperformed equally weighted benchmarks (9.3% vs 6.7% annualized return, 1.1 vs 0.3 Sharpe ratio; Nov 1997–Nov 2013; 7-asset universe).
- When Stock Price Momentum Strategies Crash German stock price momentum crashed during market rebounds (-8.98% monthly vs 1.57% overall; Feb 1987–Oct 2012; 12-1 month formation, monthly rebalance), while earnings momentum remained stable.
- Value and Momentum Behaviors in Developed Markets Value and momentum premiums negatively correlate across 23 developed markets, with stronger effects among small stocks and more effective diversification for large caps (Jan 1990–Mar 2012; gross returns).
- Stripping Risks from a Stock Momentum Strategy Residual return momentum outperformed total return momentum (11.2% vs 10.3% annualized return, 0.90 vs 0.45 Sharpe ratio; Jan 1926–Dec 2009; long-short decile portfolios, monthly rebalancing; broad U.S. stocks).
- Short-term and Long-term Market Momentum Early-stage momentum (short-term winners with weak long-term returns) outperformed traditional momentum for developed markets (0.78% vs 0.68% monthly hedge return; 6-month intervals; 1970-2013; 18 developed country indexes).
- Stock Price Acceleration as a Momentum Investing Enhancement Momentum strategies focusing on accelerating winners and decelerating losers outperformed traditional momentum (1.75% vs 1.23% monthly 3-factor alpha; 1962-2011; 12-month ranking, 6-month holding; U.S. stocks).
- Stock Price Momentum Over the Very Long Run Stock momentum effect averaged 0.28% monthly during 1801-1926 vs 0.58% during 1927-2012 (gross excess returns; long-short momentum terciles, 11-1 month formation, equal-weighted; 213 years of US stocks).
- Short-term Currency Exchange Rate Momentum Currency momentum strategies (buying/selling top/bottom quintile currencies) generated 1.9%–9.1% gross annualized returns, with 4-week lookback/holding achieving 1.05 Sharpe ratio (Oct 1997–Dec 2011; 63 currencies vs USD).
- Stock Index Returns after 52-week Highs and Lows Stock indexes show placid post-high, volatile post-low patterns, but 13-week cumulative returns are inconsistent across DJIA/S&P 500/NASDAQ (Oct 1928–Jan 2013; varying start dates by index).
- Purified Stock Momentum with Crash Suppression Residual return momentum (using market-adjusted stock returns) outperformed conventional momentum (Sharpe ratio 0.69 vs 0.05; FTSE World Index; Jun 1993–Sep 2012; long-short decile portfolios).
- Asset Allocation Combining Momentum, Volatility, Correlation and Crash Protection FAA strategy combining momentum, volatility and correlation rankings outperformed equal-weighted benchmark (14.7% vs 5.6% annualized return; Jan 2005-Dec 2012; top 3 of 7 asset class funds monthly).
- Momentum and Reversal Simply Reactions to Noise? What causes asset price momentum? In his May 2012 paper entitled "Is Momentum a Self-fulfilling Prophecy?", Steven Jordan presents a simple, abstract model explaining the pervasiveness and robustness of evidence…
- Model Momentum Strategy Adjustment SACEMS switches from 6-month to 5-month momentum ranking, with 5-month variant generating 1.63% vs 1.39% average monthly return (2007-2012; single-ETF momentum across 9 asset classes; 0.25% trading friction).
- Stock Momentum and Bond Returns Residual stock momentum outperformed total stock momentum for corporate bond selection (2.69% vs 2.16% annualized excess return, 0.83 vs 0.35 Sharpe ratio; 1994-2011; 6-month ranking/holding intervals).
- Avoiding Momentum’s Left Tail A two-regime market state model identifies all momentum strategy crashes exceeding 20% losses as occurring when turbulent state probability exceeds 50% (Sep 1977–Dec 2010; out-of-sample; decile momentum strategy with 11-month…
- Risk and Behavioral Factors Driving Momentum Profits Momentum profits are fully explained by five risk factors, with 12-1-1 momentum generating 1.50% gross monthly returns versus 0.03% alpha after factor adjustment (1988-2010; long-term volatility/distress/bond beta earn risk premiums…
- Stock Price Momentum and Aggregate Default Risk Shocks Stock momentum effects are elevated during high default risk shock months (1.93% vs -0.64% gross monthly returns; 1960-2009; 6-month formation/holding with skip-month; broad US stocks).
- Melding Momentum, Diversification and Absolute Return Antonacci's composite momentum strategy outperformed equally weighted asset classes (gross Sharpe ratios not specified numerically; Jan 1974–Dec 2011; 12-month momentum across 4 asset pairs with T-bill substitution).
- Avoiding Momentum Strategy Crashes Volatility-scaled momentum outperformed baseline momentum (16.5% vs 14.5% average annual returns; July 1926-Dec 2011; long-short decile portfolio scaled by inverse 6-month volatility with 12% target).
- Spectacular “New” Momentum and Reversal? Enhanced momentum strategies focusing on stocks newly entering/exiting extreme deciles outperformed conventional momentum (6.8% vs 1.2% monthly gross return for optimal variant; 1962-2010; long loser arrivers/short loser droppers).
- Interaction of Momentum/Reversal with Size and Value MAX momentum portfolios (combining winners with small/high book-to-market characteristics) generate 1.31% monthly returns with no reversal, while MIN portfolios show negative momentum and strong reversals (1965-2010; U.S. stocks).
- Melding Momentum and Stock Portfolio Management Practices Momentum portfolios (top 10% of S&P 900, dynamic replacement when falling below top 25%) outperformed S&P 500 (8.5% vs 4.6% annualized; 1996-2011; 12-month ranking; gross returns excluding dividends).
- Momentum Investing for Currencies? Currency momentum strategies generated 6-10% annualized gross returns but only 4% net after trading costs for the best strategy (Jan 1976-Jan 2010; 48 currencies; monthly ranking/rebalancing).
- Momentum Echo Outside the U.S.? Cross-country momentum tests show intermediate momentum does not generally outperform recent momentum, contradicting U.S. findings (36 non-U.S. markets; 1991-2009; gross returns via single/double sorts).
- Momentum Not Working? Momentum hedge strategy (long top/short bottom sixth-month return decile; equal-weighted, 6-month hold) generated 1.14% monthly returns but turned unprofitable post-2004 (-0.16% during 2005-2009; 1965-2009; gross returns).
- When Momentum Does and Doesn’t Work Momentum strategies perform poorly around market state transitions, with 6-month firm-level strategies generating -200% returns during 2009 bear market exit (1962-2010; long/short top/bottom decile stocks).
- Disappearance of the Momentum Effect Momentum strategy returns declined from 1.37% monthly (1990-1998) to statistically insignificant 0.72% (1999-2010), with three-factor alpha dropping from 1.35% to 0.57% (long-short decile portfolios; 1965-2010; monthly rebalancing).
- Momentum Overview from the Discoverers Momentum strategies (buying past 7-2 month winners, holding 6 months) averaged 13.5% gross annual profit but lost 36.5% in 2009 (1990-2009; equal-weighted overlapping portfolios; U.S. stocks).
- The Industry 52-week High Effect Industry 52-week high strategy outperformed individual stock version (0.60% vs 0.43% average gross monthly return; July 1963–2009; long top 6/short bottom 6 industries by price-to-high ratio, 6-month holds).
- Interactions of Momentum, Valuation and Idiosyncratic Volatility Stock momentum is strongest for growth firms with high idiosyncratic volatility (1.17% vs 0.43% monthly return; 6-month formation/hold, long-short; 1965-2008 U.S. stocks) but reverses severely over years 2-5.
- Exclude Japan from Momentum Portfolios? Asness finds momentum premium near zero in Japan (0.03 Sharpe ratio vs 0.22-0.48 elsewhere; Jul 1981-Dec 2010; top 90% stocks by cap, tertile sorts), but 50/50 value-momentum mix achieves 0.65…
- Concentrating the Value Premium and Momentum with FSCORE FSCORE (9-point financial health metric) enhances value and momentum strategies, with incongruent strategy (high-value/high-FSCORE long, low-value/low-FSCORE short) beating pure value/glamor strategy in 34 of 37 years (1972-2008; size-adjusted gross returns).
- Reversal, Momentum, Reversion and 12-month Echo Dependencies on January Returns January disrupts typical momentum patterns, showing reversion instead of momentum for past months 2-11, while February-December exhibit momentum (NYSE/AMEX stocks; 1926-2009; equally weighted hedge portfolios by return deciles).
- Combination Momentum Strategies Not Worth the Effort? Double-sorting (characteristic then momentum) generates 0.53%-1.34% monthly returns but performs no better than simple momentum on extreme deciles (2.2% monthly; 1964-2008; equal-weighted portfolios).
- 52-Week Highs for Emerging Markets Indexes The 52-week high strategy underperformed momentum for emerging markets indexes (-0.27% vs +0.84% monthly gross return; 6-month holding period; long/short quartile portfolios; 26 indexes, Jan 1988–Mar 2009).
- Highly Simplified Momentum Strategies Simplified momentum strategies long the strongest S&P 100 past winner, short the index, generated 1.16-2.05% gross monthly returns (1984-2009; 6-month ranking optimal; remains profitable with up to 1.33% one-way trading…
- Reference Price Adjustments for Winners and Losers Do investors think differently about winning and losing positions? In their paper entitled "Why Do Investors Update Reference Prices Asymmetrically?", Susan Grant, Ying Xie and Dilip Soman conduct four laboratory…
- Combining Momentum and Asset Growth Hedged momentum strategies (long winners, short losers) generate higher returns among firms with extreme asset growth, with highest/lowest growth quintiles yielding 1.52%/1.03% monthly vs 0.26% for zero growth (1964-2006; U.S.…
- Extending Value and Momentum to Frontier Market Stocks Value (B/M, E/P, D/P) and momentum strategies generate 0.59%-1.69% monthly excess returns in frontier markets (Jan 1997-Nov 2008; long-short quintile portfolios, 6-month holds; 1,400+ stocks across 24 markets).
- Parsing Reversal and Momentum Effects Short-term reversal concentrates in large, low-volatility stocks while 12-month momentum persists across size/volatility combinations (1964-2009; quintile sorts on size, volatility, returns with 1-12 month horizons; NYSE/AMEX/NASDAQ).
- Momentum in U.S. Corporate Bond Returns Corporate bond momentum generates 0.64% gross monthly return (1991-2008; 6-month skip-1 strategy; 77,150 bonds), driven entirely by non-investment grade bonds and past winners rather than shorting losers.
- Momentum and Portfolio Risk Momentum hedge portfolio returns increase with firm-level risk across six risk measures (1983-2006; monthly double quintile sorts), driven by variation in short-side returns while long-side returns remain stable.
- Isolating the Decisive Momentum (Echo?) 12-7 month momentum (12 months to 7 months ago) outperformed 6-2 month momentum, generating 10% annualized returns for large-cap value-weighted strategies (1927-2008; U.S. stocks, monthly rebalancing).
- Amplifying Momentum with Volume and Accounting Indicators Triple-sorted momentum, return-volume covariance and FSCORE/GSCORE strategies exceeded momentum-only excess returns over 3-month T-bills (value 1.78%–3.36% vs 0.49%–0.61% monthly; growth 2.20%–3.31% vs 0.77%–0.98%; NYSE/AMEX 1982–2007; before trading costs).
- How the 52-Week High and Low Affect Beta and Volatility Stock volatility decreases ~32% when approaching 52-week highs, then increases ~46% post-breach; beta drops ~0.18 near highs (broad U.S. stocks; 1963-2008 prices, 1996-2008 options).
- Reaction, Momentum and Reversion There is a stream of research that indicates three phases of price dynamics in equity markets, reaction - momentum - reversion, that operate over different horizons...
- A Multi-momentum Potential A triple-sort price/earnings/revenue momentum hedge portfolio (long highest, short lowest quintile; equal-weighted, formed monthly) averaged 1.57% per month, with the paper reporting higher averages than double- and single-sort portfolios (U.S.…
- Are Momentum Strategies Fragile? Momentum strategies exhibit parameter fragility, with 200-day SMA returns substantially declining when waiting one day post-crossover and six/ten-month ranking intervals showing luck-dependent performance (various tests; multiple timeframes).
- Amplifying Momentum Returns with Idiosyncratic Volatility Momentum profits were highest among U.S. stocks in the top third by idiosyncratic volatility, and the gap between stocks with and without positive feedback trading nearly vanishes after controlling for…
- Momentum vs. Value The post discusses momentum (Decision Moose, asset-class level) and value (Magic Formula Investing, stock level) as complementary timing approaches at different horizons; no direct backtest is reported, and a pure…
- Combine Momentum with Low Volatility? Mal Williams tested volatility-adjusted momentum (6-month return divided by standard deviation) in asset class rotation and found significantly lower returns without commensurately lower volatility versus standard momentum.
- Upside Down Beta Distributions for Value and Momentum? Value and momentum betas flipped by early 2009, with high-value stocks becoming high-beta and high-momentum stocks relatively lower-beta, an extreme not seen in 30+ years (Russell 3000; Dec 1978–Mar 2009;…
- Why the Skip-period in Momentum Strategies? Momentum strategies with skip-periods underperformed those without by ~2% annually in one 19-year asset class rotation test, suggesting the original rationale may not apply to monthly intervals (one test; timeframe…
- Interplay of Beta with Momentum and Contrarian Investing Contrarian mutual funds outperformed momentum funds on simple excess returns (2.2% and 2.5% over three- and six-month post-trade horizons), but the gap disappeared after four-factor adjustment (1991-2006; quarterly holdings of…
- Momentum a Big Mistake? Chen et al. find momentum profits peak at 6-9 months then reverse, with Winner minus Loser portfolios reaching -8% to -10% cumulative excess returns after 36 months (1985-2006; fundamentals-based analysis).
- Effect of Stock Market Momentum on Index Options Prices ...stock market momentum tends to affect the pricing of broad equity index options such that long options become less (more) desirable for playing continuation (reversal) of strong trends.
- Winners and Losers Among Equity Investors Discount broker clients underperformed institutional investors across most horizons (net losses of ~0.5-1.0% vs gains), while non-discount clients outperformed at 25-day horizon (Australian equities; 1995-2005; intraday trading records).
- International Test of Momentum Strategies Momentum strategies (top 10% minus bottom 10% of past 3-12 month returns) generate statistically significant profits in UK (+0.19% to +1.75% monthly) and Germany (+0.53% to +1.24%), but not Japan…
- Big Winners from Stock Buybacks? Stock buyback announcements generated 1.78% three-day excess returns but negative returns over 180-day windows around announcements (2005-2007; U.S. public companies; Griffin-Zhu study).
- Trading After 52-week Highs and Lows Stocks crossing 52-week lows show positive abnormal returns, with smallest-cap quartile averaging ~5% weekly abnormal returns vs ~0.6% for 52-week highs (2000 stocks; Nov 1982–Dec 2006; four-factor adjusted).
- Enhancing Momentum Returns with Style High-stylishness momentum portfolios outperformed low-stylishness (1.28% vs 0.86% monthly returns; 1999-2006; 6-month formation/holding, stylishness measured by growth/value co-movement; 1965-2006 broad sample).
- Combining Momentum and Roll Return Signals for Commodity Futures Combined momentum-roll return commodity strategies outperformed passive equal-weighted commodities (21.02% vs 2.48% risk-adjusted annual return; Jan 1979–Jan 2007; double-sort monthly rebalancing; 37 commodities).
- Momentum Returns for Large Caps Momentum strategies on S&P 100 stocks generated 2.33% net alpha over 6 months after trading frictions (Dec 1985–Aug 2006; 32 formation/holding period combinations; long-short decile portfolios).
- Returns of High-Momentum Stocks Around Earnings Announcements High-momentum stocks (top 1% prior-year returns) generate +1.58%/-1.86% market-adjusted returns in 5 days before/after earnings vs +0.30%/-0.1% for broad sample (1971-Q3 2005; daily returns around earnings).
- Momentum and Contrarian Commodity Futures Returns Commodity futures momentum strategies outperformed equally-weighted long-only futures (9.38% vs -2.64% average annual return; Jan 1979–Sep 2004; 13 profitable long-short strategies; 31 commodities).
- The Pervasiveness and Persistence of Momentum 12-1-1 momentum strategy generated 10.8% annual winner-minus-loser spread for UK stocks (1956-2007; value-weighted, pre-transaction costs; top/bottom quintiles), with similar effects across 17 countries but high turnover costs.
- Unconditional Love for Losers? In a stock-picking simulation, participants reported news more often and perceived new information about their pick more positively after losses than gains, and were more likely to re-bet on losers…
- Trading Friction as a Momentum Killer UK momentum strategies targeting the 10% lowest transaction cost stocks generated 27.7% net annual returns, while standard momentum profits (1.9% monthly pre-cost) were eliminated by 6.7% round-trip costs (1986-2005; 3,520…
- Multi-year Reversals for Past Winners and Losers Extreme past losers outperformed extreme past winners by 14% annually over subsequent 5 years, with past losers outperforming equally-weighted market by 53% vs past winners underperforming by 47% (UK stocks;…
- The 52-Week High as a Momentum Indicator for Individual Stocks George and Hwang find 52-week-high momentum long/short portfolios earned about 0.45% average monthly return, comparable to Jegadeesh-Titman and Moskowitz-Grinblatt strategies, with stronger January-segregated results (July 1963–December 2001; 6-month hold).
- Loss of Momentum? Stock momentum effect vanished post-2000, with negative alpha averaging 70% of return distribution (Jul 1926–Dec 2005; 10 momentum-ranked portfolios, 5-month formation, 6-month holding).
- Momentum Strategies Sputtering? Self-financing equal-weighted momentum portfolios (winners minus losers, monthly overlapping) did not reliably generate statistically significant returns over 1993–2004, with weaker results in falling markets and for small-cap and NASDAQ stocks…
- Buying on Impulse (Change in Momentum) Stocks with extremely high price acceleration outperformed those with extremely low acceleration (6.15% spread; 1926-2003; acceleration defined as change in 6-month momentum; individual stocks).
- Short Sellers: Contrarian or Momentum Traders? Short-sellers are contrarian traders who predict near-term underperformance, with small short trades generating 3.9% monthly abnormal returns but transaction costs eliminate economic significance (Q1 2005; 2,815 Nasdaq stocks).
- The Disposition Effect as a Driver of Momentum Frazzini finds the disposition effect drives momentum, with event-driven strategies yielding ~1% monthly excess returns after transaction costs (1980-2002; mutual fund holdings data).
- Momentum Investing: Surfing Waves in the Economy? Winner-minus-loser momentum portfolios (top vs. bottom decile; ranked on past six-month returns, held six months) averaged 0.85% per month excess return, and winners show higher sensitivity to industrial production growth…
- Why Momentum Investing Works? Nine momentum strategies (long top decile, short bottom decile by 3/6/12-month returns, held 3/6/12 months) showed statistically significant outperformance of winners over losers (Feb 1973–Aug 2004; NYSE/AMEX/NASDAQ stocks >$5).