Asset allocation with time series momentum and reversal

He, XZ; Li, K; Li, Y

Asset allocation with time series momentum and reversal

He, XZ

Li, K

Li, Y

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Publication Type:: Journal Article
Citation:: Journal of Economic Dynamics and Control, 2018, 91 pp. 441 - 457
Issue Date:: 2018-06-01

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Field	Value	Language
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Li, K https://orcid.org/0000-0003-1620-8829	en_US
dc.contributor.author	Li, Y https://orcid.org/0000-0002-2142-7607	en_US
dc.date.available	2020-06-02T19:03:07Z
dc.date.issued	2018-06-01	en_US
dc.identifier.citation	Journal of Economic Dynamics and Control, 2018, 91 pp. 441 - 457	en_US
dc.identifier.issn	0165-1889	en_US
dc.identifier.uri	http://hdl.handle.net/10453/129989
dc.description.abstract	© 2018 Elsevier B.V. To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and out-of-sample, the S&P 500 and pure strategies based on either time series momentum or reversal only. The results are robust for different time horizons, short-sale constraints, market states, investor sentiment, and market volatility.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP130103210
dc.relation	http://purl.org/au-research/grants/arc/DE180100649
dc.relation.ispartof	Journal of Economic Dynamics and Control	en_US
dc.relation.isbasedon	10.1016/j.jedc.2018.02.004	en_US
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject.classification	Economics	en_US
dc.title	Asset allocation with time series momentum and reversal	en_US
dc.type	Journal Article
utslib.citation.volume	91	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access	*
pubs.publication-status	Published	en_US
pubs.volume	91	en_US

Abstract:

© 2018 Elsevier B.V. To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and out-of-sample, the S&P 500 and pure strategies based on either time series momentum or reversal only. The results are robust for different time horizons, short-sale constraints, market states, investor sentiment, and market volatility.

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http://hdl.handle.net/10453/129989