Date of Graduation
Bachelor of Science in Business Administration
This paper contributes to existing literature by providing an analysis of combined time series momentum and cross sectional momentum strategies in the Dow Jones Industrial Average from February, 1991 to December, 2015. Combined momentum strategies are shown to not outperform cross sectional momentum strategies, and all momentum strategies tested are shown to under perform the market index. The twelve month historical return serves as the foundation from which the momentum strategies are formulated. Holding periods discussed in this paper include portfolio’s offset by one month from the historical return calculations . Momentum results during the time period analyzed are driven primarily by positive moment um returns, demonstrated in long only position portfolios outperforming short only position portfolios. This paper concludes in line with existing research that momentum portfolios perform best with an offset period due to observed short term momentum reversal. This paper adds a theoretical analysis of the weaknesses associated with pure cross sectional and pure time series momentum strategies, as well as an analysis of the strengths and weaknesses of a combined momentum strategy.
Adams, S. (2016). The Overlap of Cross Sectional and Time Series Momentum Strategies. Finance Undergraduate Honors Theses Retrieved from https://scholarworks.uark.edu/finnuht/32