Download or read book Demystifying Time Series Momentum Strategies written by Nick Baltas and published by . This book was released on 2019 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by studies of the impact of frictions on asset prices, we examine the effect of key components of time-series momentum strategies on turnover and performance. We show that more efficient volatility estimation and price trend detection can significantly reduce portfolio turnover by more than one third, without causing statistically significant performance degradation. We propose a novel implementation of the strategy that incorporates the pairwise signed correlations by means of a dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the outperformance is more pronounced in the post-2008 period. Finally, using a transaction costs model for futures-based strategies that separates costs into roll-over and rebalancing costs, we show that our findings remain robust to the inclusion of transaction costs.
Download or read book Time Series Momentum written by Tobias J. Moskowitz and published by . This book was released on 2015 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for 1 to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities of speculators and hedgers, we find that speculators profit from time series momentum at the expense of hedgers.
Download or read book Demystifying Managed Futures written by Brian Hurst and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high-R-squares with Managed Futures indices and individual manager returns, including the largest and most successful managers. While the largest Managed Futures managers have realized significant alphas to traditional long-only benchmarks, controlling for time series momentum strategies drives the alphas of most managers to zero. We consider a number of implementation issues relevant to time series momentum strategies, including risk management, risk allocation across asset classes and trend horizons, portfolio re-balancing frequency, transaction costs, and fees.
Download or read book Enhancing Time Series Momentum Strategies Using Deep Neural Networks written by Bryan Lim and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid approach which injects deep learning based trading rules into the volatility scaling framework of time series momentum. The model also simultaneously learns both trend estimation and position sizing in a data-driven manner, with networks directly trained by optimising the Sharpe ratio of the signal. Backtesting on a portfolio of 88 continuous futures contracts, we demonstrate that the Sharpe-optimised LSTM improved traditional methods by more than two times in the absence of transactions costs, and continue outperforming when considering transaction costs up to 2-3 basis points. To account for more illiquid assets, we also propose a turnover regularisation term which trains the network to factor in costs at run-time.
Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
Download or read book The Trend Is Your Friend written by Athina Athina Georgopoulou and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the case when controlling for the currency component. We further demonstrate that time-series momentum captures a significant proportion of international mutual fund performance, but this is predominantly with respect to its long aspect. Finally, the market interventions by central banks in recent years have distorted correlations across assets; this challenges the performance of such portfolios.
Download or read book Time Series Momentum and Market Stability written by Xuezhong He and published by . This book was released on 2014 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the market under-reacts in short-run and over-reacts in long-run when momentum traders dominate the market, which provides profit opportunity for time series momentum strategies with short-time horizons and reversal with long-time horizons. We find momentum strategies with short horizons stabilise the market while the effect becomes opposite with longer horizons. The results provide an insight into the profitability of time series momentum documented in recent empirical studies.
Download or read book Momentum Strategies in Futures Markets and Trend following Funds written by Nick Baltas and published by . This book was released on 2015 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and commodity trading advisors (CTAs) and examine the question of capacity constraints in trend-following investing. First, we construct a very comprehensive set of time-series momentum benchmark portfolios. Second, we provide evidence that CTAs follow time-series momentum strategies, by showing that such benchmark strategies have high explanatory power in the time-series of CTA index returns. Third, we do not find evidence of statistically significant capacity constraints based on two different methodologies and several robustness tests. Our results have important implications for hedge fund studies and investors.
Download or read book Time Series Momentum and Macroeconomic Risk written by Mark C. Hutchinson and published by . This book was released on 2019 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due to the expectation of positive returns in equity bear markets. However, the return drivers of the strategy and its performance in other economic conditions are less well understood. The authors find evidence that the returns to the strategy are connected to the business cycle. Returns are positive in both recessions and expansions, but profitability is especially high in expansions. About 40% of returns are due to time varying factor-related risk exposure, consistent with rational asset pricing theories having a role in explaining the profitability of the strategy.
Download or read book Momentum s Hidden Sensitivity to the Starting Day written by Philip Maymin and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the profitability of time-series momentum strategies on commodity futures across their entire history is strongly sensitive to the starting day. Using daily returns with 252-day formation periods and 21-day holding periods, the Sharpe ratio depends on whether one starts on the first day, the second day, and so on, until the twenty first day. This sensitivity is higher for shorter trading periods. The same results also hold in simulation of independent and identically lognormally distributed returns, showing that this is not only an empirical pattern but a fundamental issue with momentum strategies. Portfolio managers should be aware of this latent risk: starting trading the same strategy on the same underlying but one day later could, even after many decades, turn a successful strategy into an unsuccessful one.
Download or read book Time Series Momentum and Volatility Scaling written by Abby Kim and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of international futures contracts. We find that their results are largely driven by volatility-scaling returns (or the so-called risk parity approach to asset allocation) rather than by time series momentum. Without scaling by volatility, time series momentum and a buy-and-hold strategy offer similar cumulative returns, and their alphas are not significantly different. This similarity holds for most sectors and for a combined portfolio of futures contracts. Cross-sectional momentum also offers a higher (similar) alpha than unscaled (scaled) time series momentum.
Download or read book Dual Momentum Investing An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
Download or read book Time Series Momentum Trading Strategy and Autocorrelation Amplification written by K. J. Hong and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Institutionalizing Countercyclical Investment written by Bradley Jones and published by International Monetary Fund. This book was released on 2016-02-29 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generating properties) is a public and private good, how might asset owners be empowered to do more of it? These two questions motivate this study. Based on analysis of representative portfolios (totaling $24 trillion) for a range of asset owners (central banks, pension funds, insurers and endowments), portfolio changes typically appear procyclical. In response, I suggest a framework aimed at jointly bolstering long-term returns and financial stability should: (i) embed governance practices to mitigate ‘multi-year return chasing;’ (ii) rebalance to benchmarks with factor exposures best suited to long-term investors; (iii) minimize principal-agent frictions; (iv) calibrate risk management to minimize long-term shortfall risk (not short-term price volatility); and (v) ensure regulatory conventions do not amplify procyclicality at the worst possible times.
Download or read book Risk Based and Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2015-11-24 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
Download or read book Demystifying China s Stock Market written by Eric Girardin and published by Springer Nature. This book was released on 2019-09-13 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mainstream research has rationalized China’s stock market on the basis of paradigms such as the institutional approach, the efficient market hypothesis, and corporate valuation principles. The deviations from such paradigms have been analyzed as puzzles of China’s stock market. Girardin and Liu explore to what extent, in the perspective of Chinese cultural and historical characteristics, far from being puzzles, these 'deviations’ are rather the symptoms of a consistent strategy for the design, development and regulation of a government-dominated financial system. This book will help investors, observers and researchers understand the hidden logic of the design and functioning of China’s modern stock market, taking a political economy view.
Download or read book Time Series Momentum written by Enoch Chang and published by . This book was released on 2019 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a Monte-Carlo backtesting procedure for risk premia strategies andemploys it to study Time-Series Momentum (TSM). Relying on time-series models, empiricalresidual distributions and copulas we overcome two key drawbacks of conventional backtestingprocedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and across-asset class futures portfolio. The simulations reveal a probability distribution which showsthat strategies that outperform Buy-and-Hold in-sample using historical backtests may out-of-sample i) exhibit sizable tail risks ii) underperform or outperform. Our results are robust tousing different time-series models, time periods, asset classes, and risk measures.
