Quantitative or momentum-based multi-style rotation? UK experience

Clare, A., Sapuric, S. & Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6), pp. 370-381. doi: 10.1057/jam.2009.19

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Abstract

The objective of this article is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style-rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-stylerotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

Item Type: Article
Additional Information: This is a post-peer-review, pre-copyedit version of an article published in Journal of Asset Management. The definitive publisher-authenticated version Clare, A, Sapuric, S & Todorovic, N (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6)pp370-381 is available online at: http://dx.doi.org/10.1057/jam.2009.19
Uncontrolled Keywords: Multi-style rotation; Ordered logit; Momentum
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/7691

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