Momentum and Covered Calls Almost Everywhere

Posted: 24 Feb 2017 Last revised: 29 Nov 2018

Date Written: August 22, 2017

Abstract

We examine times series momentum and covered call strategies through conventional representations across 10 asset classes. The performance of the two strategies generally outperform static buy and hold investments and they are classified as positive and negative autocorrelation factors. The tactical overlay of time series momentum and covered call strategies onto asset classes are considered beta transformations (of previous alpha). The two “beta” replacements of the underlying asset are incorporated into well established risk based allocation heuristics such as maximum diversification and equal risk contribution. The resulting portfolios show enhanced risk adjusted performance compared to the corresponding buy and hold investments. We designate this global tactical asset allocation framework as autocorrelation factor allocation, ACFA.

Keywords: Global Tactical Asset Allocation, Time Series Momentum, Trend Following, Covered Calls

JEL Classification: G11, G10

Suggested Citation

Choi, Stephen, Momentum and Covered Calls Almost Everywhere (August 22, 2017). Journal of Investing, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2921778 or http://dx.doi.org/10.2139/ssrn.2921778

Stephen Choi (Contact Author)

LORA Technologies ( email )

511 Institute of Computer Technology
Seoul National University, 1 Gwanak-ro
Seoul, 08826
Korea, Republic of (South Korea)
8210-2923-3789 (Phone)

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