Uncovering Momentum

19 Pages Posted: 18 Dec 2019

Date Written: December 11, 2019

Abstract

The explanation of the momentum premium represents an ongoing challenge, triggering the development of multiple risk-based and behavioral models. The paper explores the momentum strategy following a systematic divide-and-conquer approach composed from a sequence of top-bottom steps: dissecting the momentum performance along bull/bear states and winners/losers deciles; identifying the unscaled momentum decile as a basic common block across conventional, time-series and dual momentum strategies; rolling the combined in- and out-of-sample analysis, and clustering momentum decile time series. The corresponding findings support the Efficient Market Hypothesis and compliment existing models with techniques for identifying and assessing temporal patterns.

Keywords: momentum, top-bottom analysis, time series clustering

JEL Classification: G12, C21, C22

Suggested Citation

Malitskaia, Yulia, Uncovering Momentum (December 11, 2019). Available at SSRN: https://ssrn.com/abstract=3502301 or http://dx.doi.org/10.2139/ssrn.3502301

Yulia Malitskaia (Contact Author)

VKY Analytics, LLC ( email )

P.O. Box 151
Wading River, NY 11792
United States

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