Journal of Asset Management

, Volume 10, Issue 6, pp 370–381 | Cite as

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

Original Article

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-style-rotation 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.

Keywords

multi-style rotation ordered logit momentum 

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Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Ltd 2010

Authors and Affiliations

  • Andrew Clare
  • Svetlana Sapuric
  • Natasa Todorovic
    • 1
  1. 1.Faculty of Finance, Cass Business SchoolLondonUnited Kingdom

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