[210708 Unist FE Lab Journal Club 발표자료] 모멘텀 측정 지표를 개선하기 위해 만들어진 가속화 모멘텀 입니다. 가속화 모멘텀 전략은 주가 상승 속도의 가속화가 무한정 계속될 수 없기 때문에, 주가가 점차 빠른 속도로 상승한 뒤에는 reversal 이 일어날 것이라는 가정을 전제로 합니다. 가속화 모멘텀 전략과 이를 KOSPI 유니버스에 적용한 결과 등을 소개하려 합니다.

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https://www.notion.so/unistfelab/Momentum-Acceleration-and-Reversal-5054e50bd1e243928b61feec402e7c0f

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Price adjustment as a reaction to positive information on an efficient/not efficient market Source: (Jamróz, 2011, p. 27)

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J=12, K=3
J=6, K=6
… J=12
K=3

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미국
https://blog.naver.com/ksdskd/222020153993

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https://blog.naver.com/ksdskd/222020153993

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93년 이후 Momentum에 관련된 많은 연구들이 활발히 진행 (절대 모멘텀, 상대 모멘텀, 듀얼 모멘텀 …)

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Our hypothesis is that the momentum strategy leads to an accelerated price increase
perhaps via positive feedback.

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However, the acceleration is not sustainable, hence the reversal. Indeed, we show evidence
that accelerated price increase is a strong contributor to poor future performance.

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All portfolios are value-weighted and
held for the next 1 month.

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All portfolios are value-weighted and
held for the next 1 month.
J
K=1

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Figures 2 and 3 clearly suggest that the 1-month reversal and the 2–12 month momentum are two ends of
the spectrum. The general trend in both figures indicates that positive acceleration leads to reversals or
negative acceleration leads to rebound. In other words, unsustainable acceleration leading to reversal can
reconcile the 1-month reversal and 2–12 month momentum. The key is that it implies that acceleration is not
sustainable.

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- 한국에서는 모멘텀 스코어 양 끝 분위의 성과가 좋지 않기 때문에 Q1, Q5를 제외한 Q2, Q3, Q4 를 사용했을 때
비슷한 현상을 확인 가능함
- Paper 에서는 가벼운 주식을 제거(주가 $2 이하)하고 Value weighted 방식을 사용하여 outlier에 대해 덜 취약함
https://junpyopark.github.io/acc_momentum/

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We need to determine how to measure the
acceleration of returns. One way to do it is to
put different weights on the last 12-month
returns, with positive weights on more recent
returns and negative weights on more remote
returns. In this way, the most recent strong
returns will contribute more to the acceleration
measure, and thus it highlights the acceleration
of returns.

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J=1, K=1, Reversal
포트폴리오를 반대로
Q1 - Q5
J=12 ~ 1개월 전 까지, K=1
결과 정리
Acceleration Method
값이 크면 안 좋기 때문에
Q1 – Q5

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에 적용 해보기
대신증권 2021.05.17. Quant 리포트: 가속화 모멘텀 전략

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https://junpyopark.github.io/acc_momentum/

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https://junpyopark.github.io/acc_momentum/

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https://junpyopark.github.io/acc_momentum/

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변동성 대비 수익률
https://junpyopark.github.io/acc_momentum/

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가장 크게 된 종목 예시
https://alphasquare.co.kr/home/stock/stock-summary?code=011200

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Thank you for listening!