Momentum Strategy Performances in New Energy Vehicle Industry

Abstract

The automotive industry is now actively working toward the strategic goal of developing new energy vehicles (NEVs). As a common strategy, momentum strategy is suitable for variation stocks. On this basis, this article focuses on new energy vehicle stocks and explores some variations of the current momentum strategies. This article provides proof that the momentum strategy exists in a certain stock. The sensitivity of the strategy return to stock market volatility will vary with varied lengths of lookback periods. The affected Sharpe ratio of the strategy shows that the transaction cost has some impact on the return of the momentum approach. Given that fossil fuels are being replaced by new energy sources today, research into NEV manufacturers is worthwhile. The significance of this research is providing a greater understanding of momentum strategy and investigating its feature in real data. These results shed light on guiding further exploration of implementations and applications of momentum strategy.