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Another potential benefit to this momentum strategy is that it may be used in tactical and strategic allocations when combined with other smart beta products or asset classes.
They concluded that having a momentum strategy will profit the speculators at the expense of the hedgers.
Rouwenhorst (1998) also implemented momentum strategy in 12 developed countries of Europe and found that short-term momentum effect existed in all 12 stock markets and it is profitable.
The iShares MSCI Europe Momentum Factor UCITS ETF is based on the momentum strategy.
Daniel and Moskowitz show that a dynamic strategy based on their analysis significantly outperforms a static momentum strategy prone to such crashes.
They analyze a momentum strategy with a lagged six-month ranking period and a subsequent one-month holding period, and find that the strategy's risk-adjusted performance improves when they take into account the dynamic factor loadings.
1) The momentum strategy discussed below combines individual currency-momentum strategies into an equally-weighted portfolio of the same 20 currencies.
Given the results of past studies cited in the literature review, a momentum strategy should provide a superior portfolio performance while a contrarian approach might not provide any benefits.
The second row of table 2 tracks the average monthly return from a momentum strategy.
The Momentum Builder ETFs seek to track a momentum strategy index and, as a result, may experience more volatility than funds that track more broadly based conventional indexes.
The iShares MSCI World Momentum Factor UCITS ETF is based on the momentum strategy.
The ETN capitalizes on a unique momentum strategy that seeks to increase exposure to the sub-indices that outperform the S&P 500 and reduce allocation for the underperformers.