standard momentum, reversal and mean-variance allocation strategies, as well as equally weighted portfolio for criteria based …

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … liquid futures contracts and show that RAMOM strategies outperform the time series momentum (TSMOM) strategies of Ooi …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …