An Anatomy of Trading Strategies

Conrad, Jennifer; Kaul, Gautam

doi:10.1093/rfs/11.3.489

Cited by 726 publications

(523 citation statements)

References 45 publications

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“…Jegadeesh and Titman (1993) were the first to report significant intermediate horizon momentum profits in the U.S. stock market. Using a different methodological approach, Conrad and Kaul (1998) nevertheless report similar findings. Conrad and Kaul, as well as Grundy and Martin (2001) show that the momentum strategies work in all subperiods they examine, being consistently profitable in the U.S. stock market since the 1920s.…”

Section: Introduction and Literature Reviewsupporting

confidence: 51%

An examination of momentum strategies in commodity futures markets

Shen

Szakmary

Sharma

2007

Journal of Futures Markets

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Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have been reported in stocks. The profits documented are too large to be subsumed by transactions costs. Although the momentum strategies appear to be quite risky, their profitability cannot be fully accounted for in the context of a market factor model. Further, it is shown that momentum profits eventually reverse if positions are maintained long enough after portfolio formation.

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Section: Introduction and Literature Reviewsupporting

confidence: 51%

An examination of momentum strategies in commodity futures markets

Shen

Szakmary

Sharma

2007

Journal of Futures Markets

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“…There exists a large body of empirical support for the generation of abnormal momentum-based returns in a variety of contexts. Both Jegadish and Titman (2001) and Conrad and Kaul (1998) Asness, Moskowitz andPedersen (2009), andMoskowitz, Ooi and. However, both Korajczyk and Sadka (2004) and Lesmond, Schill and Zhou (2004) suggest that once transactions' costs are fully incorporated into these momentum-based trading rules, especially the cost of short-selling, then the abnormal profits that appear to be available to the equity strategies disappear, though the finding that abnormal profits persist for commodity futures where transactions' costs are much lower suggest that momentum profits may be more pervasive elsewhere (see for example Szakmary, Shen, Sharma (2010) and Miffre and Ralis (2007)).…”

Section: Trend Following and Momentum Strategiesmentioning

confidence: 99%

Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500

Clare¹,

Seaton²,

Smith³

et al. 2013

J Asset Manag

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This is the accepted version of the paper.This version of the publication may differ from the final published version. In this paper we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average trading rule, dominate the long only, passive investment in the index. In particular, using the latter rule we find that popular stop loss rules do not add value and that monthly end of month investment decision rules are superior to those which trade more Permanent repository linkElectronic copy available at: http://ssrn.com/abstract=2126476 2 frequently: this adds to the growing view that trading can damage your wealth. Finally we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing.

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“…In CAPM, it will be examined that whether momentum profits have been explained by CAPM or not? Many well known authors, for instance, Fama and French (1996), Grundy and Martin (2001), Jegadeesh and Titman (2001), Conrad and Kaul (1998), Moskowitz and Grinblatt (1999) have used CAPM as risk based standard model to explain the profits from momentum investment strategy. But CAPM never fully explained the short term momentum effect.…”

Section: Estimation Of Capmmentioning

confidence: 99%

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz

Polák

2015

Business: Theory and Practice

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Abstract. The objective of this paper is to find short term momentum effect in stock markets of the Middle East and to examine whether short term momentum profits can be explained by risk based CAPM model. Seven major stock markets from the Middle East were selected. Short term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

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An Anatomy of Trading Strategies

Cited by 726 publications

References 45 publications

An examination of momentum strategies in commodity futures markets

An examination of momentum strategies in commodity futures markets

Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500

Short-Term Momentum Effect: a Case of Middle East Stock Markets

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