Showing 1 - 10 of 170
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...
Persistent link: https://www.econbiz.de/10010738209
We investigate the relationship between value, growth and momentum investment styles across a wide range of developed and emerging economy equity markets. As would be anticipated, value investing generally beats growth. We then determine whether the application of relative momentum or trend...
Persistent link: https://www.econbiz.de/10010796799
We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...
Persistent link: https://www.econbiz.de/10010630694
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...
Persistent link: https://www.econbiz.de/10010630696
We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...
Persistent link: https://www.econbiz.de/10011186017
A growing body of literature suggests that over widely varying historical eras and across a wide range of asset classes momentum investing, often accompanied by a trend following overlay, provides superior risk-adjusted returns. We examine the effectiveness of applying these methodologies to...
Persistent link: https://www.econbiz.de/10011133553
A growing body of literature suggests that over widely varying historical eras and across a wide range of asset classes momentum investing, often accompanied by a trend following overlay, provides superior risk-adjusted returns. We examine the effectiveness of applying these methodologies to...
Persistent link: https://www.econbiz.de/10011031836
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...
Persistent link: https://www.econbiz.de/10010548634
This paper utilises monthly data from the U.K. stock market to examine possible regularities in variables (trading probability and fractional turnover) which may be (or may be hypothesised to be) associated with liquidity risk. Modelling is based upon extensions to the CAPM involving variables...
Persistent link: https://www.econbiz.de/10012720145
We present a new approach to examining the dividend signalling hypothesis by investigating dividend resumptions by former payers. Evidence regarding the signalling hypothesis has been mixed to date. In support of previous work, we fund that dividend policy is sticky, whereby the achievement of...
Persistent link: https://www.econbiz.de/10012735882