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Journal of Asset Management

, Volume 20, Issue 6, pp 433–441 | Cite as

The analytics of momentum

  • Oh Kang Kwon
  • Stephen SatchellEmail author
Original Article
  • 46 Downloads

Abstract

Momentum-based investment strategies are widely used by practitioners, and their empirical properties have attracted considerable research interest from academics. This paper discusses some theoretical results on cross-sectional momentum, time-series momentum, and relative strength portfolio returns. We use simple examples to explain their relevance to both academics and practitioners alike despite the differences in their motivation and focus. We examine in detail the special case where there are only two underlying assets, and show analytically that many of the phenomena noted by empirical researchers have mathematical explanations.

Keywords

Cross-sectional momentum Time-series momentum Relative strength Cross-sectional volatility 

JEL Classification

C40 G11 

Notes

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Copyright information

© Springer Nature Limited 2019

Authors and Affiliations

  1. 1.Discipline of Finance, Codrington Building (H69)The University of SydneySydneyAustralia
  2. 2.Trinity CollegeUniversity of CambridgeCambridgeUK

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