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Contents
Introduction to Momentum Investing ................................... 7
Overview of Trend-Following Strategies .................................................................. 9
Risks of Momentum Strategies ............................................................................... 12
CTAs and Momentum Strategies ............................................................................ 14
Prototype Momentum Factors ............................................. 17
Absolute Momentum Prototypes ............................................................................. 20
Relative Momentum Strategies ............................................................................... 25
Correlation of Momentum Strategies ...................................................................... 30
Selection of Trend Signal ........................................................................................ 36
Investment Horizon, Rebalance Frequency and Transaction Costs......................... 42
Dynamically Rebalanced Signals ............................................................................ 46
CTA Exposure to Prototype Momentum Factors .................................................... 48
Risk Management and Portfolio Construction ................... 53
Stop-Loss and Volatility Signals ............................................................................. 56
Incorporating Value/Reversion Factors ................................................................... 62
Risk Adjusted Momentum ....................................................................................... 66
Long Only Momentum ............................................................................................ 69
Risk Methods: J.P. Morgan Mozaic and Efficiente ................................................. 71
Diversified Trend-Following Strategies .................................................................. 73
Other Potential Enhancements ................................................................................ 79
Seasonality............................................................................ 83
Introduction to Seasonality ...................................................................................... 85
Quantifying Seasonality Across Assets ................................................................... 89
Prototype Seasonality Risk Factors ......................................................................... 98
Seasonality and Momentum Factor Portfolios ...................................................... 102
Appendices ......................................................................... 108
J.P. Morgan Investable Momentum Indices .......................................................... 110
J.P. Morgan Research on Momentum Strategies ................................................... 113
An Introduction to Commodity Trading Advisors (CTAs) ................................... 124
Mathematics of Trend Filtering Methods .............................................................. 136
CTA Exposure to Fung and Hsieh Factors ............................................................ 139
Rebalancing and Investment Horizons .................................................................. 140
Transaction Cost Analysis ..................................................................................... 146
Performance of Alternative Trend Signals ............................................................ 150
Stop-Loss Trigger and Short-Term Reversion Sensitivities .................................. 153
Macro and Market Regimes .................................................................................. 161
Performance-Risk Analytics .................................................................................. 163
Review of Portfolio Construction Methods ........................................................... 166
Academic References ............................................................................................ 171
Glossary ................................................................................................................. 177
Contacts and Disclaimers ...................................................................................... 181
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