Using Style Index Momentum to Generate Alpha

Journal of Technical Analysis, Forthcoming

13 Pages Posted: 5 Oct 2008

See all articles by Samuel L. Tibbs

Samuel L. Tibbs

American University of Sharjah - School of Business and Management

Stanley G. Eakins

East Carolina University - College of Business

William DeShurko

401 Advisor, LLC

Date Written: October 1, 2008

Abstract

Russell style indexes exhibit significant momentum, particularly after medium term out- and underperformance. The existence of this momentum produces a diversified, index-based low-cost means to exploit momentum by incorporating relative style index performance into tactical allocation strategies. Such style index momentum trading strategies have outperformed on both a raw and risk-adjusted return basis, with the long minus short portfolio generating an average 9.25% annual return over the 34-year period analyzed. Although the excess returns vary, they are robust through time and after controlling for potentially confounding effects. Additionally, the returns are not driven by any single style index and portfolio reconstruction is, on average, required every six months.

Keywords: Momentum, Style Investing

JEL Classification: G14

Suggested Citation

Tibbs, Samuel L. and Eakins, Stanley Gilber and DeShurko, William, Using Style Index Momentum to Generate Alpha (October 1, 2008). Journal of Technical Analysis, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1276815

Samuel L. Tibbs (Contact Author)

American University of Sharjah - School of Business and Management ( email )

P.O. Box 26666
Sharjah
United Arab Emirates
971 06 515 4169 (Phone)

Stanley Gilber Eakins

East Carolina University - College of Business ( email )

3130 General Classroom Building
Greenville, NC 27858-4353
United States
919-328-6359 (Phone)

William DeShurko

401 Advisor, LLC ( email )

Centerville, OH
United States

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