Publication Type

Journal Article

Version

acceptedVersion

Publication Date

11-2019

Abstract

In this article, the authors propose a simple and novel measure of relative strength over investment horizons that synthesizes short- and intermediate-term price information. The relative-strength measure compares the short-term price trend with the intermediate-term price trend. The relative strength strategy generates substantial profits, which are greater than a simple sum of traditional short-term reversal and momentum profits. The superior performance of the relative strength strategy is evident after risk adjustments for various factor models and is robust across subperiods and different market conditions. These findings seem consistent with investor conservatism and the idea that investors are slow to adjust to new information.

Keywords

Analysis of individual factors/risk premia, factor-based models, style investing

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Portfolio Management

Volume

46

Issue

1

First Page

91

Last Page

105

ISSN

0095-4918

Identifier

10.3905/jpm.2019.1.111

Publisher

Institutional Investor Inc

Copyright Owner and License

Authors

External URL

https://doi.org/10.3905/jpm.2019.1.111

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