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S&P Global Sector survivals: Momentum effects in sector indices underlying iShares

Kos, H. & Todorovic, N. (2008). S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. Quarterly Review of Economics and Finance, 48(3), pp. 520-540. doi: 10.1016/j.qref.2007.12.001


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
Publisher Keywords: Momentum survival; Kaplan–Meier estimator; Transaction costs
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
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