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UNIST Financial Engineering Lab. 1
https://www.notion.so/unistfelab/Momentum-Acceleration-and-Reversal-5054e50bd1e243928b61feec402e7c0f
UNIST Financial Engineering Lab. 2
UNIST Financial Engineering Lab. 3
UNIST Financial Engineering Lab. 4
Price adjustment as a reaction to positive information on an efficient/not efficient market Source: (Jamróz, 2011, p. 27)
UNIST Financial Engineering Lab. 5
J=12, K=3
J=6, K=6
… J=12
K=3
UNIST Financial Engineering Lab. 6
UNIST Financial Engineering Lab. 7
UNIST Financial Engineering Lab. 8
UNIST Financial Engineering Lab. 9
UNIST Financial Engineering Lab. 10
미국
https://blog.naver.com/ksdskd/222020153993
UNIST Financial Engineering Lab. 11
https://blog.naver.com/ksdskd/222020153993
UNIST Financial Engineering Lab. 12
93년 이후 Momentum에 관련된 많은 연구들이 활발히 진행 (절대 모멘텀, 상대 모멘텀, 듀얼 모멘텀 …)
UNIST Financial Engineering Lab. 13
Our hypothesis is that the momentum strategy leads to an accelerated price increase
perhaps via positive feedback.
UNIST Financial Engineering Lab. 14
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.
UNIST Financial Engineering Lab. 15
UNIST Financial Engineering Lab. 16
All portfolios are value-weighted and
held for the next 1 month.
UNIST Financial Engineering Lab. 17
All portfolios are value-weighted and
held for the next 1 month.
J
K=1
UNIST Financial Engineering Lab. 18
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.
UNIST Financial Engineering Lab. 19
- 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/
UNIST Financial Engineering Lab. 20
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.
UNIST Financial Engineering Lab. 21
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
UNIST Financial Engineering Lab. 22
UNIST Financial Engineering Lab. 23
UNIST Financial Engineering Lab. 24
에 적용 해보기
대신증권 2021.05.17. Quant 리포트: 가속화 모멘텀 전략
UNIST Financial Engineering Lab. 25
https://junpyopark.github.io/acc_momentum/
UNIST Financial Engineering Lab. 26
https://junpyopark.github.io/acc_momentum/
UNIST Financial Engineering Lab. 27
https://junpyopark.github.io/acc_momentum/
UNIST Financial Engineering Lab. 28
변동성 대비 수익률
https://junpyopark.github.io/acc_momentum/
UNIST Financial Engineering Lab. 29
가장 크게 된 종목 예시
https://alphasquare.co.kr/home/stock/stock-summary?code=011200
UNIST Financial Engineering Lab. 30
Thank you for listening!

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The new type of smart, sustainable entrepreneurship and the next day | Europe...The new type of smart, sustainable entrepreneurship and the next day | Europe...
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