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Quantitative or momentum-based multi-style rotation? UK experience

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Listed:
  • Andrew Clare
  • Svetlana Sapuric
  • Natasa Todorovic

    (Faculty of Finance, Cass Business School)

Abstract

The objective of this article is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style-rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style-rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

Suggested Citation

  • Andrew Clare & Svetlana Sapuric & Natasa Todorovic, 2010. "Quantitative or momentum-based multi-style rotation? UK experience," Journal of Asset Management, Palgrave Macmillan, vol. 10(6), pages 370-381, February.
    • Handle: RePEc:pal:assmgt:v:10:y:2010:i:6:d:10.1057_jam.2009.19
    DOI: 10.1057/jam.2009.19
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Zaremba, Adam, 2017. "Performance persistence of government bond factor premia," Finance Research Letters, Elsevier, vol. 22(C), pages 182-189.
    2. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    3. Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
    4. I-Cheng Yeh, 2023. "Synergy frontier of multi-factor stock selection model," OPSEARCH, Springer;Operational Research Society of India, vol. 60(1), pages 445-480, March.
    5. Zaremba, Adam & Shemer, Jacob, 2018. "Is there momentum in factor premia? Evidence from international equity markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 120-130.
    6. Page, Daniel & McClelland, David & Auret, Christo, 2022. "Style rotation on the JSE," Finance Research Letters, Elsevier, vol. 46(PB).
    7. Naqvi, Bushra & Rizvi, S.K.A. & Mirza, Nawazish & Reddy, Krishna, 2018. "Religion based investing and illusion of Islamic Alpha and Beta," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 82-106.

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