A characteristic of momentum strategies is that they generate a distribution of trading returns that is positively skewed.
A characteristic of momentum strategies is that they generate a distribution of trading returns that is positively skewed.
August 2012
This can mean fewer winning than losing trades, but still positive expected returns. Richard Martin and David Zou derive explicit formulas for the skewness of the trading returns, for certain simple types of model, and show that it has a characteristic term structure.
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