6 Pages Posted: 1 Feb 2009
Date Written: January 29, 2009
This is the fourth in a series of research bulletins marking the launch of the new and enhanced Barra Global Equity Model (GEM2). In this piece, we focus on characteristics of the global momentum factor. Under varying market conditions, the performance of the momentum factor will be examined, especially in bull versus bear markets. In addition, the global diversification benefits for this strategy will be analyzed. We also consider the implied country and sector tilts in a momentum strategy, as well as the interaction between momentum and other style factors, such as value and growth.
Keywords: global, equity, risk model, barra, momentum, GEM2
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