Momentum Strategy and Momentum Crash Management
Date Issued
2016
Date
2016
Author(s)
Guo, Jia-Yi
Abstract
Traditional JT price momentum strategy has proved to be ineffective after 2000. Other improved momentum strategy’s effect are also declined. However, the present study proposed FIP + MAX improved momentum strategy, not only to maintain the high return, it has maintained significant till now. With early warning mechanism in accordance with FIP + MAX strategy proposed in this study, the month average return as high as 5.28%, Sharpe ratio of 0.53. The strategy will make money with hit ratio of 70% and 64% odds will beat the market. In consideration of the company has regularly published financial statements pressure, the present study proposed FIP + MAX improved momentum strategy has stable performance. Whether continuous operation quarter, six months, one year, the average probability of positive returns and operating performance is better than invest the market.
Subjects
Momentum Strategy
Frog-in-the-pain (FIP)
MAX effect
passive investment
financial statements
Sharpe ratio
Type
thesis