01 Jul Learning From Johan's "Demystifying momentum"

The paper finds positive momentum profits for the 6 different types of momentum strategies tested but these profits were only better than an equal-weighted strategy in the in-sample period.

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.

The paper finds positive momentum profits for the 6 different types of momentum strategies tested but these profits were only better than an equal-weighted strategy in the in-sample period.

The paper further explores where time-series and cross-sectional momentum comes from and where do they differ. Volatility weighting’s ability to reduce kurtosis and skewness; and relationship of momentum with dispersion and volatility is tested.

Research Paper: Demystifying momentum: Time-series and cross-sectional momentum, volatility and dispersion

Author: Johan Du Plessis

Organisation: University of Amsterdam