Momentum and Contrarian Stock-Market Indices PDF Download
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Author: Robert J. Hill
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the index provider to trade-off the distinctiveness of the momentum/contrarian strategies with portfolio turnover. Momentum investment styles in particular typically entail a high level of turnover, and hence high associated transaction costs. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995-2007 we find that short term momentum and long term contrarian indices outperform the reference Russell 1000 index. We also document the changing interaction between the momentum/contrarian and value/growth styles.
Author: Robert J. Hill
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the index provider to trade-off the distinctiveness of the momentum/contrarian strategies with portfolio turnover. Momentum investment styles in particular typically entail a high level of turnover, and hence high associated transaction costs. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995-2007 we find that short term momentum and long term contrarian indices outperform the reference Russell 1000 index. We also document the changing interaction between the momentum/contrarian and value/growth styles.
Author: Jon Edward Eggins
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
We propose a new class of flexible and investable stock-market indices that partition a benchmark index into momentum and contrarian sub-indices. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/ contrarian investment managers, and good proxies for the momentum factor - the only factor in Carhart's four factor model without a stock-market-index proxy. Over the period 1995-2008 we document the dynamic interaction between the momentum/contrarian and value/growth styles.
Author: Venkata Vijay Kumar Pasupuleti
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
Paper studies the mean reversion phenomena and momentum phenomena in the standard and poor 100 stocks index in US markets by forming the portfolio by varying sizes of 10 stocks, 20 stocks and 30 stocks. The resilience parameter of stock in terms of price is used to calculate a ratio. This ratio is undertaken as the identifying the stocks for the portfolio formation. Various portfolios are formed on the basis of number of observation days and holding period. Momentum portfolio provides the negative returns for all the short and long term portfolios. Whereas, the portfolios based on contrarian strategy were providing the significant positive return across all the holding periods. It is also found that the highest returns were generated by portfolios which were formed on the basis of one previous day information for selection of stocks, rather than longer historical information. The presences of abnormal returns reflect the semi strong form of market efficiency. Hence the market investors can build the portfolio on the basis of historical information with mean reversion and momentum characteristics in order to generate abnormal returns.
Author: Venkata Vijay Kumar Pasupuleti
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
Paper studies the Momentum and mean reversion phenomena in the US markets. On the basis of listing in S&P 100 index, 100 stocks are undertaken for analysis. CLHL ratio helps to identify the stocks for the formation of the desired portfolios. CLHL ratio is calculated on the basis of closing price, low price, and high price data of the stocks. The data considered was past 1, 3 and 5 days. Daily portfolio returns were calculated. It is found that portfolios formed on the basis of momentum strategy have significant returns generated in both the short and long terms, however the returns were negative across all tenure periods; portfolios built on the basis of contrarian strategy were able to generate significant returns from one year itself. Study also finds that the higher number of stocks in the portfolio actually decreases the returns generated in contrarian strategy. It is also found that the highest returns are generated when the stocks are selected on the basis of one previous day information rather than longer historical information. This does reflect the strong form of the market efficiency.
Author: William N. Goetzmann
Publisher:
ISBN:
Category : Index mutual funds
Languages : en
Pages : 48
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Book Description
We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms of their investment patterns. In particular, we identify positive feedback traders as well as contrarians whose activities are conditional upon preceding day stock market moves. We test the consistency and profitability of these conditional strategies over time. We find that more frequent traders are typically contrarians, while infrequent traders are more typically momentum investors. The dynamics of these investor classes help us to partially examine the question of the marginal investor over the period of our study. We find that the behavior of momentum investors is typically more correlated to changes in the S&P 500 and we trace its dynamics over time. We build up behavioral factors' based on contrarian and momentum flows and show that they perform well against a benchmark of loadings on latent factors extracted from returns. We also use the behavior of momentum and contrarian investors to build a measure of market polarization.' This captures the dispersion of beliefs among the investors and helps to account for asset pricing better than standard measures of dispersion of beliefs
Author: Larry Connors
Publisher: John Wiley & Sons
ISBN: 1118239458
Category : Business & Economics
Languages : en
Pages : 198
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Book Description
For years, traders and investors have been using unproven assumptions about popular patterns such as breakouts, momentum, new highs, new lows, market breadth, put/call ratios and more without knowing if there is a statistical edge. Common wisdom holds that the stock markets are ever changing. But, as it turns out, common wisdom can be wrong. Offering a comprehensive look back at the way the markets have acted over the last two decades, How Markets Really Work: A Quantitative Guide to Stock Market Behavior, Second Edition shows that nothing has changed, that the markets behave the same way today as they have in years past, and that understanding this puts you in a prime position to profit. Written by two top financial experts and filled with charts and graphs that illustrate the market concepts they develop, the book takes a sometimes contrarian view of everything from market edges to historical volatility, and from volume to put/call ratio, giving you all that you need to truly understand how the markets function. Fully revised and updated, How Markets Really Work, Second Edition takes a level-headed, data-driven look at the markets to show how they function and how you can apply that information intelligently when making investment decisions.
Author: Nathan E. Davis
Publisher: McGraw-Hill Companies
ISBN: 9780071432405
Category : Business & Economics
Languages : en
Pages : 177
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Book Description
"The Triumph of Contrarian Investing provides you with analysis and indicators proven to spotlight those points at which investor optimism or pessimism is at its strongest, then show you how to go against the grain - and profit - in virtually every instance."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author: David Dreman
Publisher: Free Press
ISBN: 9780684813509
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
David Dreman's name is synonymous with the term "contrarian investing," and his contrarian strategies have been proven winners year after year. His techniques have spawned countless imitators, most of whom pay lip service to the buzzword "contrarian," but few can match his performance. His Kemper-Dreman High Return Fund has been the leader since its inception in 1988 -- the number one equity-income fund among all 208 ranked by Lipper Analytical Services, Inc. Dreman is also one of a handful of money managers whose clients have beaten the runaway market over the past five, ten, and fifteen years. Now, as the longest bull market in the history of the stock market winds down, there is increasing volatility and a great deal of uncertainty. This is the climate that tests the mettle of the pros, the worries of the average investor, and the success of David Dreman's brilliant new strategies for the next millennium. Contrarian Investment Strategies: The Next Generation shows investors how to outperform professional money managers and profit from potential Wall Street panics -- all in Dreman's trademark style, which The New York Times calls "witty and clear as a silver bell." Dreman reveals a proven, systematic, and safe way to beat the market by buying stocks of good companies when they are currently out of favor. At the heart of his book is a fundamental psychological insight: investors overreact. Dreman demonstrates how investors consistently overvalue the so-called "best" stocks and undervalue the so-called "worst" stocks, and how earnings and other surprises affect the best and worst stocks in opposite ways. Since surprises are a way of life in the market, Dreman shows you how to profit from these surprises with his ingenious new techniques, most of which have been developed in the nineties. You'll learn: Why contrarian stocks offer extra protection in bear markets, as well as delivering superior returns when the bull roars. Why a high dividend yield is just as important for the aggressive investor as it is for "widows and orphans." Why owning Treasury bills and government bonds -- the "safest investments" for centuries -- is like being fully margined at the top of the 1929 market. Why Initial Public Offerings are a guaranteed loser's game. Why you should avoid Nasdaq ("the market of the next hundred years") like the plague. Why crisis, panic, and even market downturns are the contrarian investor's best friend. Why the chances of hitting a home run using the Street's best research are worse than being the big winner in the New York State Lottery. Based on cutting-edge research and irrefutable statistics, David Dreman's revolutionary techniques will benefit professionals and laymen alike.
Author: Jacob Bernstein
Publisher: McGraw-Hill Companies
ISBN: 9780071376778
Category : Aktiekurser
Languages : en
Pages : 0
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Book Description
After a discussion that defines market timing and market momentum, the author details the using of momentum to trade effectively. Using examples and illustrations to emphasize key points, he explores such issues as accumulation and distribution patterns and buy and sell signals based on momentum.
Author: David N. Dreman
Publisher: Vintage Books USA
ISBN: 9780394748931
Category : Investments
Languages : en
Pages :
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Book Description
