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Publicação
Residual momentum
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| 1.94 MB | Adobe PDF |
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Resumo(s)
Previous research on residual momentum indicated that it
performs well compared to total momentum strategies as well as
during market turmoil. This paper analyzed the performance of a
residual momentum strategy based on two different factor models
and multiple weighting schemes. Evidence is found of a volatility
weighted residual momentum strategy outperforming the S&P 500
Index over a time span of 20 years and generating a statistically
significant alpha. It failed, however, to outperform the S&P 500
Index in the out-of-sample period that ranges from 2011 to .2021
and thus opens the door to further enhance the signal
Descrição
Palavras-chave
Momentum Residual momentum Capital asset pricing model Fama french 3-factor model