Author: Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 100
Book Description
Contribution of 52-week Low to the Momentum Strategy on 52-week High
Author: 52-Week High/Low and Momentum Investing
Author: Alexander ChristenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
While there is a large body of literature about momentum and 52-week high investing, only few authors take into consideration feasibility criteria. Especially low daily turnover volumes, the limited availability of securities to sell short and high transaction costs should be taken into account when implementing a momentum or 52-week high strategy in practice. This thesis examines the profitability of different designs of such strategies in the Swiss stock market. Selling short the index instead of securities or the inclusion of a stop-loss strategy are extensions of momentum and 52-week high strategies, which to the authors knowledge not have been tested in the Swiss stock market so far. I find statistical significant returns for most momentum and 52-week high strategy designs. Returns are decreasing when increasing the number of invested securities. Similar to Herberger, Kohlert & Oehler (2009) I find also decreasing returns for strategies with longer holding periods. For strategies selling short the index, returns are lower and of poor statistical significance. The inclusion of a stop-loss rule slightly decreases volatility but comes at the cost of lower returns. Additionally, I show that winner and loser stocks, depending on the number of invested stocks, contribute differently to strategy's performance. Returns of selected momentum and 52-week high strategies persist after risk adjustments. Except strategies selling short the index, all other selected strategy designs are robust when omitting annual rebalancing, looking at different sub-periods or testing for seasonal patterns.
Nearness to the 52-Week High and Low Prices, Past Returns, and Average Stock Returns
Author: Li-Wen ChenPublisher:
ISBN:
Category :
Languages : en
Pages : 60
Book Description
This study examines the interactions between trading strategies based on the nearness to the 52-week high, the nearness to the 52-week low, and past returns. We offer evidence that the nearness to the 52-week low has predictive power for future average returns. Our results also reveal that the nearness to the 52-week high as well as to the 52-week low and past returns each have certain exclusive unpriced information content in the cross-sectional pricing of stocks. Moreover, a trading strategy based on the nearness to the 52-week low provides an excellent hedge for the momentum strategy, thereby nearly doubling the Sharpe ratio of the momentum strategy.
The 52-Week Low Formula
Author: Luke L. WileyPublisher: John Wiley & Sons
ISBN: 1118853474
Category : Business & Economics
Languages : en
Pages : 240
Book Description
A new but timeless strategy and mindset that should greatly help investors lower downside risk while achieving market outperformance In The 52-Week Low Formula: A Contrarian Strategy that Lowers Risk, Beats the Market, and Overcomes Human Emotion, wealth manager Luke L. Wiley, CFP examines the principles behind selecting the outstanding companies and great investment opportunities that are being overlooked. Along the way, Wiley offers a melding of the strategies used by such investment giants as Warren Buffett, Howard Marks, Michael Porter, Seth Klarman, and Pat Dorsey. His proven formula helps investors get the upper hand by identifying solid companies that are poised for growth but have fallen out of the spotlight. Shows you how to investigate companies and identify opportunities Includes detailed discussions of competitive advantage, purchase value, return on invested capital, and debt levels Presents several case studies to examine companies that have overcome obstacles by trading around their 52-week lows The 52-Week Low Formula is a must-read for investors and financial advisors who want to break through conventional strategies and avoid common mistakes.
Quantitative Momentum
Author: Wesley R. GrayPublisher: John Wiley & Sons
ISBN: 111923719X
Category : Business & Economics
Languages : en
Pages : 215
Book Description
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.
The 52-Week High Strategy and Information Uncertainty
Author: Hans-Peter BurghofPublisher:
ISBN:
Category :
Languages : en
Pages : 60
Book Description
This paper examines the driver of the 52-week high strategy, which is long in stocks close to their 52-week high price and short in stocks with a price far from their one-year high, and tests the hypothesis that its profitability can be explained by anchoring - a behavioral bias. To test the null, we examine whether the 52-week high criterion has more predictive power in cases of larger information uncertainty. This hypothesis is motivated by a psychological insight, which states that behavioral biases increase in uncertainty. For six proxies of ambiguity, we document a positive relationship to returns of 52-week high winner stocks and a negative relationship to returns of 52-week high loser stocks. The opposite effect of information uncertainty on winner and loser stocks implies that the 52-week high profits are increasing in uncertainty measures. Moreover, the study documents that the six variables have a similar impact on momentum profits. Hence, we cannot reject the hypothesis that anchoring explains the profits to the 52-week high strategy and that it is the driver of the momentum anomaly.
Quantitative Momentum
Author: Wesley R. GrayPublisher: John Wiley & Sons
ISBN: 1119237262
Category : Business & Economics
Languages : en
Pages : 206
Book Description
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.
Is the 52 Week High Strategy as Pervasive as Momentum? Evidence from Arabic Market Indices
Author: Omar Khlaif GharaibehPublisher:
ISBN:
Category :
Languages : en
Pages : 8
Book Description
Existing studies find that momentum can be explained by a strategy based on the 52wk high prices of individual stock and is able to predict returns. This paper uses Arabic market indices data to investigate whether there is momentum and 52wk high strategies and to evaluate the performance of these strategies to achieve the optimal portfolio. We find the 52wk high strategy is unprofitable when applied to Arabic market indices, while the momentum strategy is economically profitable than the 52wk high strategy. The 52wk high effect is not as pervasive and reliable as the momentum effect. After modifying the 52wk high strategy with long-term contrarian using a double sorting procedure, the modified 52wk high strategy has positive profits for all holding periods. However, the momentum strategy is still more profitable than this modified 52wk high strategy.
The 52-Week High and Momentum Investing
Author: Chuan-Yang HwangPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
When coupled with a stock's current price, a readily available piece of informationiquest;the 52-week high price-explains a large portion of the profits from momentum investing. Nearness to the 52-week high dominates and improves upon the forecasting power of past returns (both individual and industry returns) for future returns. Future returns forecast using the 52-week high do not reverse in the long run. These results indicate that short-term momentum and long-term reversals are largely separate phenomena, which presents a challenge to current theory that models these aspects of security returns as integrated components of the market's response to news.
An Investigation Into the Strength of the 52-week High Momentum Strategy in the United States
Author: Rachael Marie CahanPublisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 216
Book Description