Objective research to aid investing decisions
Menu
Value Allocations for September 2019 (Final)
Cash TLT LQD SPY
Momentum Allocations for September 2019 (Final)
1st ETF 2nd ETF 3rd ETF

Optimal Long-Short Stock Momentum Strategies in European Markets

Posted in Momentum Investing

Is there a common optimal set of ranking (lookback) interval, holding interval, weighting scheme and skip-month rule for long-short stock momentum strategies across European country markets? In her May 2019 paper entitled "Are Momentum Strategies Profitable? Recent Evidence from European Markets", Anastasia Slabchenko identifies optimal parameter sets from 576 long-short stock momentum strategy variations in each of France, Germany, Greece, Italy, Netherlands, Portugal, Spain, Sweden and UK. Variations derive from:

  • Past return ranking (lookback) intervals of 1 to 12 months.
  • Holding intervals of 1 to 12 months.
  • Value weighted (VW) or equal-weighted (EW) momentum portfolios.
  • Skip-month or no skip-month between ranking and holding intervals.

She defines the optimal variation as that generating the highest average gross monthly return. Using end-of-month closing prices for stock samples from each country, excluding financial stocks and stocks priced less than one euro, during December 1989 through January 2018, she finds that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Research Categories
Recent Research
Popular Posts