Amazing paper related to several momentum strategies
#2 – Asset Class Momentum – Rotational System
#3 – Sector Momentum – Rotational System
#8 – FX Momentum
#14 – Momentum Effect in Stocks
#15 – Momentum Effect in Country Equity Indexes
Authors: Geczy, Samonov
Title: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks)
Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2607730
Abstract:
Extending price return momentum tests to the longest available histories of global financial asset returns, including country-specific sectors and stocks, fixed income, currencies, and commodities, as well as U.S. stocks, we create a 215-year history of multi-asset momentum, and we confirm the significance of the momentum premium inside and across asset classes. Consistent with stock-level results, we document a large variation of momentum portfolio betas, conditional on the direction and duration of the return of the asset class in which the momentum portfolio is built. A significant recent rise in pair-wise momentum portfolio correlations suggests features of the data important for empiricists, theoreticians and practitioners alike.
Notable quotations from the academic research paper:
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