The index underlying the Arrow DWA Country Rotation ETF offers a systematic, price momentum strategy
that capitalizes on changing international market trends.
The sample size is small, but even taking the broader US mutual fund universe and screening for those that exhibit momentum strategy
tendencies shows widespread underperformance.
Option momentum strategy
with the mean of returns selection criterion
During both periods, the momentum strategy
generated positive, abnormal returns but exposed investors to occasional sharp losses or "crashes" The excess return associated with momentum trading averaged roughly 1 percent per month between 1927 and 2012, and 0.
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
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.
2) The broad appeal of momentum strategy
against market efficiency has lead to a huge literature on the relative importance of common versus firm specific sources of momentum payoffs (see e.
In each month t, momentum strategy
buys the winner portfolio and holds this position for K months following the ranking month, for example, month 1 to month 6, if K is defined as six (K6).
Rouwenhorst (1998) reports that momentum strategy
cannot be accounted for by a simple adjustment for beta risk when the betas of the winner and loser portfolios are very similar.