publication . Article . 2014

Looking for Synergy with Momentum in Main Asset Classes

Lukas Macijauskas; Dimitrios I. Maditinos;
Open Access
  • Published: 01 Jan 2014 Journal: EUROPEAN RESEARCH STUDIES JOURNAL, volume XVII, pages 3-16 (issn: 1108-2976, Copyright policy)
  • Publisher: International Strategic Management Association
  • Country: Malta
Abstract
As during turbulent market conditions correlations between main asset-classes falter, classical asset management concepts seem unreliable. This problem stimulates search for non-discretionary asset allocation methods. The aim of the paper is to test weather the concept of Momentum phenomena could be used as a stand alone investment strategy using all main asset classes. The study is based on exploring historical prices of various asset classes; statistical data analysis method is used. Results of the current study reveal that, in comparison to passive portfolio, Momentum method can significantly increase compounded annual growth rates and, in most cases, to achi...
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Subjects
free text keywords: General Business, Management and Accounting, General Economics, Econometrics and Finance, Behavioral Finance, Momentum Investing, Asset Classes, Strategy, Tactical Asset Allocation, Methods, Assets (Accounting), Investments -- Accounting, Risk-return relationships, Economics, Capital asset pricing model, Arbitrage pricing theory, Basis risk, Asset allocation, Alternative asset, Asset management, business.industry, business, Financial economics, Consumption-based capital asset pricing model, Tactical asset allocation, Econometrics, jel:G02, jel:G11, jel:G14, jel:G15
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