英文标题：
《Maximum drawdown, recovery, and momentum》
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作者：
Jaehyung Choi
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最新提交年份：
2021
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英文摘要：
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in forecasting directions of asset prices but also in capturing cross-sectional return differentials. In monthly periods, the alternative portfolios ranked by maximum drawdown measures exhibit outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios. In weekly time scales, recovery-related stock selection rules are the best ranking criteria for detecting mean-reversion. For the alternative portfolios and their ranking baskets, improved risk profiles in various reward-risk measures also imply more consistent prediction on the direction of assets in future. In the Carhart four-factor analysis, higher factor-neutral intercepts for the alternative strategies are another evidence for the robust prediction by the alternative stock selection rules.
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中文摘要：
我们使用基于最大提取率及其连续恢复的股票选择规则对资产价格的可预测性进行了实证检验。在各种股票市场中，根据这些替代选择标准构建的月度动量型和每周反转型投资组合不仅在预测资产价格方向方面，而且在捕捉横截面回报差异方面都具有优势。在月度期间，按最大提取率指标排名的替代投资组合表现出优于其他替代动量投资组合，包括传统的基于累积回报率的动量投资组合。在每周时间尺度中，与恢复相关的股票选择规则是检测均值回归的最佳排名标准。对于替代投资组合及其排名篮，各种回报风险度量中的风险状况改善也意味着对未来资产方向的预测更加一致。在Carhart四因素分析中，替代策略的高因素中性截距是替代股票选择规则稳健预测的另一个证据。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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