01 Dec Learning From Deutsche's "Momentum investing with Sector ETFs"
Relative Momentum applied on sector ETFs delivered higher risk adjusted return as compared to market cap weighted global stock indices.
In this article, Absolute Momentum will be used interchangeably with trend following or time series momentum. Relative Momentum will be used interchangeably with cross-sectional momentum or relative strength.
As industry performance is dispersed, it seems possible to apply some form of rotation strategy within sectors. The paper explores applying Relative Momentum on sector ETFs. The Relative Momentum strategies applied on sector ETFS exhibit a higher risk adjusted return as compared to market cap weighted global stock indices, on the basis of simulated results.
Research Paper: Passive Insights: Momentum investing with Sector ETFs
Authors: Vincent Denoiseux, Pierre Debru, Bhavesh Warlyani, Vivek Dinni
Company: Deutsche Asset & Wealth Management