Momentum-Managed Equity Factors

68 Pages Posted: 22 Jul 2019 Last revised: 20 Jul 2021

See all articles by Volker Flögel

Volker Flögel

Quoniam Asset Management GmbH

Christian Schlag

Goethe University Frankfurt; Leibniz Institute for Financial Research SAFE

Claudia Zunft

Goethe University Frankfurt - Department of Finance; Quoniam Asset Management GmbH

Date Written: July 18, 2021

Abstract

Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios formed on the broad market, size, value, momentum, investment, prof- itability, and volatility. The value-added induced by factor management via short-term momentum is a robust empirical phenomenon that survives transaction costs and carries over to multi-factor portfolios. The novel strategy established in this work compares favorably to well-known timing strategies that employ e.g. factor volatility or factor valuation. For the majority of factors, our strategies appear successful especially in recessions and times of crisis.

Keywords: factor timing, time series momentum, anomalies

JEL Classification: G12, G17

Suggested Citation

Flögel, Volker and Schlag, Christian and Zunft, Claudia, Momentum-Managed Equity Factors (July 18, 2021). SAFE Working Paper No. 317, Available at SSRN: https://ssrn.com/abstract=3423287 or http://dx.doi.org/10.2139/ssrn.3423287

Volker Flögel

Quoniam Asset Management GmbH ( email )

Frankfurt
Germany

Christian Schlag (Contact Author)

Goethe University Frankfurt ( email )

Faculty of Economics and Business
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, Hessen 60323
Germany

Leibniz Institute for Financial Research SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany
+49 69 798 33699 (Phone)

Claudia Zunft

Goethe University Frankfurt - Department of Finance ( email )

Mertonstr. 17
Frankfurt, 60054
Germany

Quoniam Asset Management GmbH ( email )

Frankfurt
Germany

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