The momentum effect is a widely-documented phenomenon in finance. One of the first studies to document this effect was written by Jegadeesh and Titman (JF, . This set of Python code is written based on the original SAS code that replicates the Jegadeesh and Titman (JF, ) momentum strategy. Please refer to the. This paper evaluates various explanations for the profitability of momentum strat- egies documented in Jegadeesh and Titman (). The evidence indicates.

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Or just the composite Portfolio Return in March? For every Month I sum up these two observations and take the Mean. Sign up using Email and Password. I work with discrete monthly Returns. It is a while since I looked at this, so this is not a definite momentym.

But I can also calculate the Return of the composite Portfolio vertical aggregation for the month March. By clicking “Post Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject to these policies.

As shown in the diagram Tranche 1 tittman of those stocks bought at the end of December and held in Jan, Feb, Mar and so on for the other tranches. My momentuk would be: Did you calculate the effective geometric rate of the 3 Month composite Portfolio, consisting the equally weighted Sub-Portfolios, Return?


Is jegaxeesh the proper way to calculate the Returns of a Momentum Strategy? Quick Link to the paper Unfortunately the Method is poorly described: It was a short sale and the returns are due to falling stock prices. This is the first observation of my Strategy. I will check my notes later today and get back to you. You donlt want to use geometric averaging over 3 months, which will artificially decrease monthly volatility.


Email Required, but never shown. In March, I calculate the Return of Tranche 1. By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service. But i dont get why we use Buy minus Sell here to measure the return of the strategy.

Do you know why it is like that? I want to duplicate their results.

I would really appreciate your help! So I think, considering your answer, that every Month i should just have the Returns of the Composite Portfolio, isn’t it? Home Jevadeesh Tags Users Unanswered. Post Your Answer Discard By clicking “Post Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject to these policies.

Momentum Strategy Jegadeesh and Titman – Statalist

This method is simple, though perhaps not completely realistic or not to everybody’s taste other methods of calculation are also possible.


But I don’t know which returns I have to calculate to implement my Momentum Strategy properly. Sign up using Facebook. At the end I sum every Return of each Month up and take the mean of that to have the Monthly Returns of my actual Strategy.

Somehow my sell Returns are pretty high such that i just a Buy – Sell Return of 0, This continues every Month. This question comes up fairly often, there may be previous answers on this site. In Jegadeesh and Titman, and the papers that follow it, the monthly return to the strategy for the month of March is found by averaging the monthly return for Tranche 1 in March, the avg return for Tranche 2 in March and the monthly return for Tranche 3 in March.

Post as a guest Name. Also other people here may have inputs in the meantime Sign up or log in Sign up using Google. I really tjtman appreciate if you could check you notes!

Thank you very much so far. It’s acutally a return as well. I want to implement a Momentum Strategy, followed by Jegadeesh and Titman with overlapping Portfolios. But IIRC the method used in the paper is what you call vertical aggregation by month.