City Research Online

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

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.

Publication 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
Publisher Keywords: Multi-style rotation; Ordered logit; Momentum
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
SWORD Depositor:
[thumbnail of Profitability of multi rotation in the UK AMJ.pdf]
Preview
Text - Accepted Version
Download (451kB) | Preview

Export

Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email

Downloads

Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login