Rolling Momentum Strategy: An Empirical Analysis

Research background: The focus of the momentum strategy, as a procyclical investment lies in hypothesis that winning shares past will most likely develop same direction near future. is assumed for performance loser shares. technical trading rules relative strength according to Levy provide basis this approach (Levy, 1967). strategy can thus offer investors an opportunity outperform market. creation portfolios under follows simple rules: On prices, equities are selected within formation period return criteria. stocks with highest and lowest returns on combined into losing portfolios, each number. final step acquisition portfolio, which held over specified period, portfolio being sold short at time. empirical analysis presented paper focuses success STOXX Europe 600 market six months. Purpose article: objective empirically test above statements assumptions. Portfolios built up rolling months then observed respect their from 1995 2000. achieved compared buy-and-hold tested differences. Especially years 2001, 2008, 2020 crisis dot-com bubble, financial crisis, COVID-19 pandemic focused discussed. Methods: data examined development database form winner portfolios. calculated AR reference DAX. statistically significant differences zero using t test. Findings & Value added: results show 2000 600. strong fluctuations notable. With few exceptions, could only non-significant results.