Finance and Financial Management Commons^™

Etf Momentum, Frank Weikai Li, Song Wee Melvyn Teo, Chloe Chunliu Yang

Research Collection Lee Kong Chian School Of Business

We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead, the post-holding period returns are most consonant with the behavioral story of delayed overreaction. While ETF momentum survives multiple adjustments for transaction costs, it may be difficult to arbitrage as the profits are volatile and concentrated in ETFs with high idiosyncratic volatility or that hold low-analyst-coverage stocks.

Sunshine On A Cloudy Day: Evidence In Support Of A Moving Average Strategy Across Down Markets Using Etfs, John Kay

Honors College

This study is motivated by the theoretical framework that suggests market timing and other algorithmic trading strategies can add value in some aspects of the investment and portfolio management process. This study examines whether a moving average crossover strategy can outperform a buy and hold strategy across a set of stock portfolios.

Although the algorithm used in this study is likely to underperform over the long run, the end-of-year selloff in 2018 revealed that moving average trading strategies add value during down markets. Consistent with Marshall et al. (2012) and Han et al. (2012), this study finds that the performance …