Momentum strategies offer a positive point of skew

An attractive characteristic of momentum strategies is that they generate a distribution of trading returns that is positively skewed. This can mean fewer winning than losing trades, but still positive expected returns. Richard Martin and David Zou derive explicit formulas for the skewness of the trading returns, for certain simple types of model, and show that it has a characteristic term structure.

31 AUGUST 2012

To read the full article of David Zou, please download below PDF.

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