Download or read book Time Series Momentum and Volatility States written by John Pettersson and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series momentum returns are driven by volatility states. Controlling for standard risk factors, assets in a low volatility state produce positive and significant time series alphas, whereas high volatility state assets do not. Contrary to what is known about cross-sectional momentum, and to what behavioral models imply, time series momentum is most profitable in futures characterized by declining or low risk levels.
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 Asset Allocation with Time Series Momentum and Reversal written by Xuezhong He and published by . This book was released on 2017 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and out-of-sample, the S&P500 and pure strategies based on either time series momentum or reversal only. The results are robust for different time horizons, short-sale constraints, market states, investor sentiment, and market volatility.
Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.
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 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 Market Volatility and Momentum written by Kevin Q. Wang and published by . This book was released on 2009 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates time-series predictability of momentum. Taking a hint from the drastic 2008-2009 episode, we examine whether market volatility is linked to momentum. We find that market volatility indeed has significant and robust predictive power for momentum profits, especially in negative market states. In contrast to the cross-sectional relation that momentum profitability is higher among firms with higher information uncertainty or higher default risk, our tests show that volatile down markets forecast low momentum payoffs. The time-series predictability of momentum is asymmetric, which arises from loser stocks. Jointly, these new findings raise a tough challenge to the existing theories on momentum. We explore whether default risk in down markets is related to the predictive power of market volatility and find supportive evidence.
Download or read book Cross Sectional and Time Series Momentum Returns and Market Dynamics written by Muhammad A. Cheema and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that idiosyncratic volatility is not a significant limit to arbitrage in Japan.
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Download or read book Market Timing with Moving Averages written by Valeriy Zakamulin and published by Springer. This book was released on 2017-11-17 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.
Download or read book Optimality of Momentum and Reversal written by Xuezhong He and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. We then estimate the model to the S&P 500 and demonstrate that, by taking the timing opportunity with respect to trend in return and market volatility, the optimal strategies outperform not only pure momentum and pure mean reversion strategies, but also the market index and time series momentum strategy. Furthermore we show that the optimality also holds for the out-of-sample tests and with short-sale constraints and the outperformance is immune to market states, investor sentiment and market volatility.
Download or read book Political Thought and the Public Sphere in Tanzania written by Emma Hunter and published by Cambridge University Press. This book was released on 2015-04-27 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Political Thought and the Public Sphere in Tanzania is a study of the interplay of vernacular and global languages of politics in the era of decolonization in Africa. Decolonization is often understood as a moment when Western forms of political order were imposed on non-Western societies, but this book draws attention instead to debates over universal questions about the nature of politics, concept of freedom and the meaning of citizenship. These debates generated political narratives that were formed in dialogue with both global discourses and local political arguments. The United Nations Trusteeship Territory of Tanganyika, now mainland Tanzania, serves as a compelling example of these processes. Starting in 1945 and culminating with the Arusha Declaration of 1967, Emma Hunter explores political argument in Tanzania's public sphere to show how political narratives succeeded when they managed to combine promises of freedom with new forms of belonging at local and national level.
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 Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling
Download or read book SAS for Forecasting Time Series Third Edition written by John C. Brocklebank, Ph.D. and published by SAS Institute. This book was released on 2018-03-14 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: To use statistical methods and SAS applications to forecast the future values of data taken over time, you need only follow this thoroughly updated classic on the subject. With this third edition of SAS for Forecasting Time Series, intermediate-to-advanced SAS users—such as statisticians, economists, and data scientists—can now match the most sophisticated forecasting methods to the most current SAS applications. Starting with fundamentals, this new edition presents methods for modeling both univariate and multivariate data taken over time. From the well-known ARIMA models to unobserved components, methods that span the range from simple to complex are discussed and illustrated. Many of the newer methods are variations on the basic ARIMA structures. Completely updated, this new edition includes fresh, interesting business situations and data sets, and new sections on these up-to-date statistical methods: ARIMA models Vector autoregressive models Exponential smoothing models Unobserved component and state-space models Seasonal adjustment Spectral analysis Focusing on application, this guide teaches a wide range of forecasting techniques by example. The examples provide the statistical underpinnings necessary to put the methods into practice. The following up-to-date SAS applications are covered in this edition: The ARIMA procedure The AUTOREG procedure The VARMAX procedure The ESM procedure The UCM and SSM procedures The X13 procedure The SPECTRA procedure SAS Forecast Studio Each SAS application is presented with explanation of its strengths, weaknesses, and best uses. Even users of automated forecasting systems will benefit from this knowledge of what is done and why. Moreover, the accompanying examples can serve as templates that you easily adjust to fit your specific forecasting needs. This book is part of the SAS Press program.
Download or read book Quantitative Value Web Site written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2012-12-26 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: A must-read book on the quantitative value investment strategy Warren Buffett and Ed Thorp represent two spectrums of investing: one value driven, one quantitative. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of value investing and quantitative investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure value or pure quantitative investing. This new investing strategy framed by the book is known as quantitative value, a superior, market-beating method to investing in stocks. Quantitative Value provides practical insights into an investment strategy that links the fundamental value investing philosophy of Warren Buffett with the quantitative value approach of Ed Thorp. It skillfully combines the best of Buffett and Ed Thorp—weaving their investment philosophies into a winning, market-beating investment strategy. First book to outline quantitative value strategies as they are practiced by actual market practitioners of the discipline Melds the probabilities and statistics used by quants such as Ed Thorp with the fundamental approaches to value investing as practiced by Warren Buffett and other leading value investors A companion Website contains supplementary material that allows you to learn in a hands-on fashion long after closing the book If you're looking to make the most of your time in today's markets, look no further than Quantitative Value.
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.
