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A critique of momentum strategies

Author

Listed:
  • Yang Gao

    (The University of Sydney Business School)

  • Henry Leung

    (The University of Sydney Business School)

  • Stephen Satchell

    (The University of Sydney Business School
    University of Cambridge)

Abstract

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

Suggested Citation

  • Yang Gao & Henry Leung & Stephen Satchell, 2018. "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 341-350, September.
    • Handle: RePEc:pal:assmgt:v:19:y:2018:i:5:d:10.1057_s41260-018-0080-0
    DOI: 10.1057/s41260-018-0080-0
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    References listed on IDEAS

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    Cited by:

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    2. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).

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    More about this item

    Keywords

    Momentum; Trend; Portfolio management;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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