Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University of Zurich, FS 2018.
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Implementation in R
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In accordance to paper Short-term Momentum (Medhat, Schmeling 2021):
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Monthly pricing data from the Center for Research in Security Prices (CRSP)
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Sample starts in July, 1963 and ends in December, 2016
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All common shares traded on NYSE, AMEX, and Nasdaq Measure short-term momentum using the return over the previous month: 𝑀𝑂𝑀_(𝑖,𝑡) = 𝑟_(𝑖,𝑡−1)
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Measure short-term turnover using previous month volume and number of shares outstanding data: 𝑇𝑂_(𝑖,𝑡) = 𝑉𝑂𝐿_(𝑖,𝑡−1) / 𝑆𝐻𝑅𝑂𝑈𝑇_(𝑖,𝑡−1)
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Portfolios are value-weighted by market capitalization and rebalanced at the end of each month
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