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Momentum investing: a stylized model
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 789.17 KB | Adobe PDF |
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Orientador(es)
Resumo(s)
Momentum is one of the most important anomalies in the financial world, heavily used by
investors, from hedge funds to individuals. Stock returns have other characteristics, such as
reversals. This study proposes accounting for that to improve momentum, while also studying
volatility reduction approaches. The developed model leads to a much higher Sharpe ratio
and alpha for the US market and lower risk than unrestricted momentum. An improvement
of this magnitude could affect investors significantly. However, the increase in turnover is
so large that there is no significant difference in returns to unrestricted momentum after
monthly trading costs of 1.1%.
Descrição
Palavras-chave
Momentum Reversal Volatility Market anomaly