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Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)

Last Updated on 10 February, 2024 by Rejaul Karim

The research paper “Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)” by Christopher Geczy and Mikhail Samonov presents a comprehensive examination of historical global financial assets, spanning two centuries.

This groundbreaking study extends momentum tests to the longest available histories of diverse financial instruments, encompassing country equities, government bonds, currencies, commodities, sectors, and U.S. stocks.

The research creates a 215-year history of cross-sectional multi-asset momentum, confirming the significance of the momentum premium both within and across asset classes.
Notably, the study reveals a substantial variation in momentum portfolio betas based on the direction and duration of the asset class’s state in which the portfolio is constructed.

The findings not only align with stock-level results but also underscore a significant recent increase in pair-wise momentum portfolio correlations, offering insight into crucial features of the data, pertinent for researchers, practitioners, and theoreticians alike.

Abstract Of Paper

Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the momentum premium inside and across asset classes. Consistent with stock-level results, we document a large variation of momentum portfolio betas, conditional on the direction and duration of the state of the asset class in which the momentum portfolio is built. A significant recent rise in pair-wise momentum portfolio correlations suggests features of the data important for empiricists, theoreticians and practitioners alike.

Original paper – Download PDF

Here you can download the PDF and original paper of Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks).

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Author

Christopher Geczy
University of Pennsylvania – The Wharton School, Finance Department

Mikhail Samonov
Two Centuries Investments

Conclusion

In conclusion, the research paper “Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)” by Christopher Geczy and Mikhail Samonov stands as a seminal contribution to our understanding of momentum across a diverse array of financial assets over an extensive historical period.

The study’s creation of a 215-year history of cross-sectional multi-asset momentum underscores the enduring significance of the momentum premium within and across varied asset classes.

The identification of substantial variation in momentum portfolio betas based on the state of the asset class, coupled with the documented increase in pair-wise momentum portfolio correlations, offers critical insights for empiricists, theoreticians, and practitioners.

This research elevates our understanding of momentum dynamics across assets, paving the way for further investigation and practical implications for investors and analysts navigating diverse asset classes.

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US Fiscal Cycle and the Dollar

FAQ

Q1: What is the main focus of the research paper “Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)” by Christopher Geczy and Mikhail Samonov?

A1: The main focus of the research paper is to extend momentum tests to the longest available histories of global financial assets, covering a diverse range of instruments such as country equities, government bonds, currencies, commodities, sectors, and U.S. stocks. The study aims to create a comprehensive 215-year history of cross-sectional multi-asset momentum and evaluate the significance of the momentum premium within and across different asset classes.

Q2: What does the research reveal about the momentum premium across diverse asset classes?

A2: The research confirms the significance of the momentum premium within and across various asset classes. By examining a broad spectrum of financial instruments over a 215-year period, including equities, bonds, currencies, commodities, sectors, and stocks, the study provides insights into the enduring nature of the momentum effect in different market segments.

Q3: What variation in momentum portfolio betas does the study identify, and what factors influence this variation?

A3: The study identifies a significant variation in momentum portfolio betas, and this variation is found to be conditional on the direction and duration of the state of the asset class in which the momentum portfolio is constructed. In other words, the performance of momentum portfolios is influenced by the specific conditions and trends within the respective asset classes.

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