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


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.


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

JEL Classification

C40 G11 



  1. Arellano-Valle, R.B., and A. Azzalini. 2006. On the unification of families of skew-normal distributions. Scandinavian Journal of Statistics 33: 561–574.CrossRefGoogle Scholar
  2. Asness, C.S., T.J. Moskowitz, and R.L. Pedersen. 2013. Value and momentum everywhere. The Journal of Finance 58: 929–985.CrossRefGoogle Scholar
  3. Chan, K., A. Hameed, and W. Tong. 2000. Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis 35: 153–172.CrossRefGoogle Scholar
  4. Chan, L.K.C., N. Jegadeesh, and J. Lakonishok. 1996. Momentum strategies. Journal of Finance 51(5): 1681–1713.CrossRefGoogle Scholar
  5. Daniel, K., and T.J. Moskowitz. 2016. Momentum crashes. Journal of Financial Economics 122(2): 221–247.CrossRefGoogle Scholar
  6. Grant, A., H. Malloch, and S. Satchell. 2018. The value of momentum to active managers and planned sponsors in Australia. JASSA: FINSIA Journal of Applied Finance 1: 4–10.Google Scholar
  7. Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48(1): 65–91.CrossRefGoogle Scholar
  8. Jegadeesh, N., and S. Titman. 2001. Profitability and momentum strategies: An evaluation of alternative explanations. Journal of Finance 56: 699–720.CrossRefGoogle Scholar
  9. Kwon, O.K., and S. Satchell. 2018. The distribution of cross sectional momentum returns. Journal of Economic Dynamics and Control 94: 225–241.CrossRefGoogle Scholar
  10. Lewellen, J. 2002. Momentum and autocorrelation in stock returns. Review of Financial Studies 15: 533–563.CrossRefGoogle Scholar
  11. Lo, A., and C. MacKinlay. 1990. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3(2): 175–205.CrossRefGoogle Scholar
  12. Moskowitz, T., Y.H. Ooi, and L.H. Pedersen. 2012. Time series momentum. Journal of Financial Economics 104(2): 228–250.CrossRefGoogle Scholar

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

Personalised recommendations