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Author: Heinrich Stilling Publisher: GRIN Verlag ISBN: 3346038300 Category : Business & Economics Languages : en Pages : 44
Book Description
Bachelor Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Mannheim, language: English, abstract: This paper focuses on the structures and characteristics that underlie the periods of extremely poor momentum performance and sets a special focus on the latest 2009 momentum crash period. It answers questions regarding the momentum portfolio composition during this period and quantitatively evaluates the momentum portfolio, measuring commonly applied performance indicators. The results are then contrasted with a non-crash benchmark period. The momentum strategy is a simple yet powerful trading strategy. Momentum implies that past stock prices can predict future stock price development. According to momentum theory, past winner stocks are likely to continue their good performance while past loser stocks are likely to continue to perform poorly. Hence, applying this strategy, investors buy stocks that have risen in the past the strongest and (short) sell those that have declined in value the most. This very simple decision rule is practically the only important guideline to follow regarding the momentum strategy. Surprisingly and in spite of its simplicity, momentum works and yields high excess returns. Over the 1927 to 2012 period, the portfolio of past winner stocks yields an annualized excess return of 7.157% compared to the market portfolio. Even though momentum usually performs exceptionally well, it does not offer free lunch. In the 1927 to 2012 time frame, there are a few periods of extreme momentum underperformance that could have wiped out some significant wealth. For instance, during the most recent 2009 momentum crash, this strategy would have erased 104.28% of an initial investment in just 3 months.
Author: Heinrich Stilling Publisher: GRIN Verlag ISBN: 3346038300 Category : Business & Economics Languages : en Pages : 44
Book Description
Bachelor Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Mannheim, language: English, abstract: This paper focuses on the structures and characteristics that underlie the periods of extremely poor momentum performance and sets a special focus on the latest 2009 momentum crash period. It answers questions regarding the momentum portfolio composition during this period and quantitatively evaluates the momentum portfolio, measuring commonly applied performance indicators. The results are then contrasted with a non-crash benchmark period. The momentum strategy is a simple yet powerful trading strategy. Momentum implies that past stock prices can predict future stock price development. According to momentum theory, past winner stocks are likely to continue their good performance while past loser stocks are likely to continue to perform poorly. Hence, applying this strategy, investors buy stocks that have risen in the past the strongest and (short) sell those that have declined in value the most. This very simple decision rule is practically the only important guideline to follow regarding the momentum strategy. Surprisingly and in spite of its simplicity, momentum works and yields high excess returns. Over the 1927 to 2012 period, the portfolio of past winner stocks yields an annualized excess return of 7.157% compared to the market portfolio. Even though momentum usually performs exceptionally well, it does not offer free lunch. In the 1927 to 2012 time frame, there are a few periods of extreme momentum underperformance that could have wiped out some significant wealth. For instance, during the most recent 2009 momentum crash, this strategy would have erased 104.28% of an initial investment in just 3 months.
Author: Kent Daniel Publisher: ISBN: Category : Rate of return Languages : en Pages : 50
Book Description
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show that the low ex-ante expected returns in panic states are consistent with a conditionally high premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors. These results are robust across multiple time periods, international equity markets, and other asset classes.
Author: Wiley Publisher: John Wiley & Sons ISBN: 1119474574 Category : Business & Economics Languages : en Pages : 928
Book Description
Everything you need to pass Level III of the CMT Program CMT Level III 2018: The Integration of Technical Analysis fully prepares you to demonstrate competency integrating basic concepts in Level I with practical applications in Level II, by using critical analysis to arrive at well-supported, ethical investing and trading recommendations. Covered topics include: asset relationships, portfolio management, behavioral finance, volatility, and analysis. The Level III exam emphasizes risk management concepts as well as classical methods of technical analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level III CMT Exam.
Author: Wiley Publisher: John Wiley & Sons ISBN: 1119674565 Category : Business & Economics Languages : en Pages : 944
Book Description
Everything you need to pass Level III of the CMT Program CMT Level III 2020: The Integration of Technical Analysis fully prepares you to demonstrate competency integrating basic concepts in Level I with practical applications in Level II, by using critical analysis to arrive at well-supported, ethical investing and trading recommendations. Covered topics include: asset relationships, portfolio management, behavioral finance, volatility, and analysis. The Level III exam emphasizes risk management concepts as well as classical methods of technical analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level III CMT Exam.
Author: Cmt Association Publisher: John Wiley & Sons ISBN: 1394184794 Category : Languages : en Pages : 899
Book Description
Get Your Copy of the Official 2023 CMT(R) Level III Curriculum Building upon the concepts covered in Levels I and II, the Official CMT(R) Level III Curriculum is the authoritative resource for all candidates preparing for their final CMT exam in June or December of 2023. This text explores asset relationships, portfolio management, behavioral finance, volatility analysis, and more. Published in partnership with the CMT Association, CMT Curriculum Level III 2023: The Integration of Technical Analysis covers all concepts featured on the Level III CMT(R) exam, and is designed to improve candidates' understanding of key topics in the theory and analysis of markets and securities.
Author: Market Technician's Association Publisher: John Wiley & Sons ISBN: 1119251435 Category : Business & Economics Languages : en Pages : 1722
Book Description
Everything you need to pass Level III of the CMT Program CMT Level III 2016: The Integration of Technical Analysis fully prepares you to demonstrate competency integrating basic concepts in Level I with practical applications in Level II, by using critical analysis to arrive at well-supported, ethical investing and trading recommendations. Covered topics include: asset relationships, portfolio management, behavioral finance, volatility, analysis, and ethics. The Level III exam emphasizes risk management concepts as well as classical methods of technical analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level III.
Author: Wiley Publisher: John Wiley & Sons ISBN: 111954355X Category : Business & Economics Languages : en Pages : 944
Book Description
Everything you need to pass Level III of the CMT Program CMT Level III 2019: The Integration of Technical Analysis fully prepares you to demonstrate competency integrating basic concepts in Level I with practical applications in Level II, by using critical analysis to arrive at well-supported, ethical investing and trading recommendations. Covered topics include: asset relationships, portfolio management, behavioral finance, volatility, and analysis. The Level III exam emphasizes risk management concepts as well as classical methods of technical analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level III CMT Exam.
Author: Market Technician's Association Publisher: John Wiley & Sons ISBN: 1119361710 Category : Business & Economics Languages : en Pages : 1072
Book Description
Everything you need to pass Level III of the CMT Program CMT Level III 2017: The Integration of Technical Analysis fully prepares you to demonstrate competency integrating basic concepts in Level I with practical applications in Level II, by using critical analysis to arrive at well-supported, ethical investing and trading recommendations. Covered topics include: asset relationships, portfolio management, behavioral finance, volatility, and analysis. The Level III exam emphasizes risk management concepts as well as classical methods of technical analysis. This cornerstone guidebook of the Chartered Market Technician® Program will provide every advantage to passing Level III.
Author: Benjamin Chabot Publisher: ISBN: Category : Arbitrage Languages : en Pages : 41
Book Description
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies -- momentum. We find that momentum has earned abnormally high risk-adjusted returns -- a three factor alpha of 1 percent per month between 1927 and 2012 and 0.5 percent per month between 1867 and 1907 -- both statistically significantly different from zero. However, the momentum strategy also exposed investors to large losses (crashes) during both periods. Momentum crashes were predictable -- more likely when momentum recently performed well (both eras), interest rates were relatively low (1867-1907), or momentum had recently outperformed the stock market (CRSP era) -- times when borrowing or attracting return chasing "blind capital" would have been easier. Based on a stylized model and simulated outcomes from a richer model, we argue that a money manager has an incentive to remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return-chasing investors and (2) he is compensated via fees that are convex in the amount of money managed and the return on that money.
Author: Heinrich Stilling
Author: Heinrich Stilling
Author: Kent Daniel
Author: Youness Chahdi
Author: Wiley
Author: Wiley
Author: Cmt Association
Author: Market Technician's Association
Author: Wiley
Author: Market Technician's Association
Author: Benjamin Chabot