19 Pages Posted: 18 Dec 2019
Date Written: December 11, 2019
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: Suggested Citation