City Research Online

Abstract

This study investigates survival of the momentum effects in S&P Global 1200 Sector index returns which are underlying indices for iShares, by employing a methodology which allows analyzing the momentum effect without being dependant on zero-investment portfolios. We design a trading strategy based on momentum survival time for 10 S&P Global 1200 Sectors and show that for most of the sectors, long, short and long/short momentum strategies are profitable at the realistic level of transaction costs, generating substantially higher Sharpe ratios than buy and hold sector index strategy.

Publication Type:	Article
Additional Information:	© 2008, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords:	Momentum survival; Kaplan–Meier estimator; Transaction costs
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

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