Indexation of Momentum Effects

40 Pages Posted: 28 May 2004

See all articles by Eugene Y. Lee

Eugene Y. Lee

University of Rhode Island - College of Business Administration

Date Written: August 2003

Abstract

Momentum is now viewed as another factor of equity returns in addition to such factors as beta, market capitalization, and market-to-book ratio. In this paper, I propose indexation of momentum effects to pave the way for development of the momentum-based investment products and for improved performance evaluation of the actively-managed funds. In this paper, I describe a family of the Momentum Index to be created, explain how to construct the Momentum Indexes, and demonstrate historical performance of the Momentum Indexes. Finally, I discuss implications and applications of the Momentum Indexes to practical investment management.

Keywords: Momentum Index, momentum effects, indexation

Suggested Citation

Lee, Eugene Y., Indexation of Momentum Effects (August 2003). EFMA 2004 Basel Meetings Paper. Available at SSRN: https://ssrn.com/abstract=498304 or http://dx.doi.org/10.2139/ssrn.498304

Eugene Y. Lee (Contact Author)

University of Rhode Island - College of Business Administration ( email )

Kingston, RI 02881
United States

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