Optimising Momentum Returns

45 Pages Posted: 25 Jan 2014

See all articles by Kartick Gupta

Kartick Gupta

University of South Australia

Stuart Locke

University of Waikato - Management School

Frank Scrimgeour

University of Waikato - Management School

Date Written: January 24, 2014

Abstract

The paper reports on an investigation of various techniques to optimise momentum returns. Eight different processes are applied to share returns from five countries, using US dollars as the common currency. The aim is to determine whether one method is clearly superior to other algorithms in maximising the momentum returns. The Single Index model with adjusted beta is found to have the potential to increase returns for large-size stocks. The results are important from the perspectives of researchers and practitioners, showing how an anomaly can be further exploited by wisely allocating money to each stock of the portfolio.

Keywords: Momentum return, Portfolio optimisation

JEL Classification: G11, G15

Suggested Citation

Gupta, Kartick and Locke, Stuart and Scrimgeour, Frank, Optimising Momentum Returns (January 24, 2014). Available at SSRN: https://ssrn.com/abstract=2384466 or http://dx.doi.org/10.2139/ssrn.2384466

Kartick Gupta (Contact Author)

University of South Australia ( email )

37-44 North Terrace, City West Campus
Adelaide, South Australia 5001
Australia
+61 8 830 27179 (Phone)

HOME PAGE: http://people.unisa.edu.au/Kartick.Gupta

Stuart Locke

University of Waikato - Management School ( email )

Hamilton
New Zealand

Frank Scrimgeour

University of Waikato - Management School ( email )

Hamilton
New Zealand

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