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Looking for Synergy with Momentum in Main Asset Classes

Author

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  • Lukas Macijauskas
  • Dimitrios I. Maditinos

Abstract

As during turbulent market conditions correlations between main asset-classes falter, classical asset management concepts seem unreliable. This problem stimulates search for non-discretionary asset allocation methods. The aim of the paper is to test weather the concept of Momentum phenomena could be used as a stand alone investment strategy using all main asset classes. The study is based on exploring historical prices of various asset classes; statistical data analysis method is used. Results of the current study reveal that, in comparison to passive portfolio, Momentum method can significantly increase compounded annual growth rates and, in most cases, to achieve this result with better risk/return ratios.

Suggested Citation

  • Lukas Macijauskas & Dimitrios I. Maditinos, 2014. "Looking for Synergy with Momentum in Main Asset Classes," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-16.
    • Handle: RePEc:ers:journl:v:xvii:y:2014:i:3:p:3-16
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    File URL: http://www.ersj.eu/repec/ers/papers/14_3_p1.pdf
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    References listed on IDEAS

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    Cited by:

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    3. Tatyana A. Skvortsova & Yuriy A. Kolesnikov & Tatyana A. Mosienko & Nikolay G. Romanenko, 2017. "The Formation of Authorized Capital in Economic Organizations," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 369-378.
    4. D.A. Artemenko & L.A.Aguzarova & F.S.Aguzarova & E.V. Porollo, 2017. "Causes of Tax Risks and Ways to Reduce Them," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 453-459.
    5. E.V. Balatsky & N.A. Ekimova, 2021. "Fiscal and Social Effectiveness Assessment of the Personal Income Tax Reform in Russia," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(2), pages 175-193.

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    More about this item

    Keywords

    Behavioral Finance; Momentum Investing; Asset Classes; Strategy; Tactical Asset Allocation; Methods;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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