call for frequent trading and thus incur high transaction costs.
Tajaddini and Crack (2012), report profitability of long and short momentum strategies
to be 1 and 3% after considering the real transaction cost; t hey also indicate the decrease in profit for the last 5 years in the sample period.
Industry momentum strategy has an annualized Sharpe ratio of 0.56, and ranks third after net issuance and individual stock momentum strategies
This study examines several aspects of the momentum strategies
, such as profitability, risk-based explanation, and decomposition of the momentum profits.
As for the paper, the structure is the following: in Section I we introduce the momentum strategies
and briefly review the main contributions of the literature to the topic under analysis; in Section II we describe thoroughly the different approaches of momentum strategies
tested; in Section III we test the option momentum strategies
They looked at trading costs of both value and momentum strategies
, and found previous studies had estimated trading costs far higher than they actually were.
The fact that fund managers employing algorithmic momentum strategies
suffer occasional dramatic losses suggests these managers either cannot anticipate momentum crashes or lack the incentives to take actions to avoid crashes.
Hence, they considered time-series momentum strategies
to be of greater importance than the cross-section momentums.
In the fifth, "Revisiting momentum strategies
: is the Brazilian market really an exception?", the authors analyze another pricing anomaly related to a particular investment strategy, the called momentum strategy, showing that financial crises can cause crashes in a number of returns of assets that could, in turn, alter the performance of the strategies.
(2005) wrote a paper "Global Momentum Strategies
: A Portfolio Perspective".
As per Conrad and Kaul (1998), the profitability of momentum strategies
is due to cross-sectional variation in expected returns rather than predictable time-series variation in security returns.
UNDP, as a development partner of the national government, aims to help the country on the Implementation, Monitoring and Evaluation of the proposed Programme of Cooperation 2012-2015 period, with the momentum strategies
of technical assistance, mobilization of external resources and internal, the national capacity building and the promotion of South-South Cooperation.