Dual Momentum Strategies

이민규 K기업경영연구원 2023 KBM Journal(K Business Management Journal) Vol.7 No.2

This study analyzes the time series momentum strategy, the dual momentum strategy that considers both time series momentum and cross-sectional momentum, and a new dual momentum strategy that considers both historical market index information and cross-sectional momentum. Winner portfolios, loser portfolios, and hedge portfolios were formed based on each momentum criterion, and the mean, standard deviation, and Sharpe ratio of the portfolio returns were calculated. The results are as follows. The time series momentum hedge portfolio has a non-significant positive mean return for both the entire period and the post-2000 period. The cross-sectional momentum hedge portfolio has a significant positive mean return only in the post-2000 period. The dual momentum hedge portfolio has a significant positive mean return only in the post-2000 period. In the new dual momentum analysis, the risk-adjusted performance of a strategy that combines cross-sectional momentum with historical market index information is relatively superior to a simple cross-sectional momentum strategy. These findings suggest that the time series momentum phenomenon is not evident in the Korean stock market and that the new dual momentum strategy based on cross-sectional momentum is more effective than the dual momentum strategy based on time series momentum.

한국주식시장에서의 위험관리 모멘텀 투자전략

손경우 ( Kyoung-woo Sohn ),윤병욱 ( Byoung Uk Yoon ),윤보현 ( Bohyun Yoon ) 명지대학교 금융지식연구소 2017 금융지식연구 Vol.15 No.1

본 연구는 Barroso and Santa-Clara(2015)에 의해 제시된 또 다른 수익률 이상현상인 위험관리 모멘텀 전략과 그 성과를 소개하고, 모멘텀 현상이 존재하지 않는 것으로 알려진 국내 주식시장에서도 유효한 전략인지 조사하였다. 상기 전략은 모멘텀 위험을 예측하고 이에 반비례하여 매매배율을 결정하는 전략으로 모멘텀 전략의 수익률 분포의 왜도와 첨도를 변화시켜 높은 위험 조정성과를 추구한다. 본 연구의 실증결과는 국내 주식시장의 모멘텀도 다른 나라의 모멘텀과 다르지 않은 측면이 있다는 것을 보여주며, 주요 결과는 다음과 같다. 첫째, 위험관리 모멘텀 전략을 통해 샤프비율이 두 배 가까이 증가하였으며, 모멘텀의 왜도와 첨도 또한 투자자에게 유리한 방향으로 개선되었다. 즉, 위험관리 모멘텀 전략이 한국에서도 유효한 전략인 것으로 나타났다. 둘째, 모멘텀 위험요인이 위험관리 전략에 의한 유의미한 수익률 개선 효과를 보인 반면 시장, 가치, 규모 등의 다른 위험요인 포트폴리오는 수익률 개선이 없는 것으로 나타났다. 이는 모멘텀 위험요인만이 갖는 기대수익률과 위험 간의 역(-)의 관계 때문이며 이러한 관계가 매매배율 재조정을 통한 위험관리를 가능하게 한 것으로 나타났다. 결론적으로 한국 주식시장에서 모멘텀 전략이 유효하지 않음에도 불구하고 한국과 미국의 모멘텀 전략 수익률의 확률분포는 유사한 특성이 있으며, 이 실증결과는 모멘텀 전략을 이해하는데 중요한 점이라고 할 수 있다. In this paper, we are to introduce the risk-managed momentum strategy, presented by Barroso and Santa-Clara(2015). In doing so, we show that the strategy proves to be an effective one to manage the momentum risk in Korean stock market. The main findings of this paper are as follows. First, in terms of momentum`s moments, the domestic stock market has similar distributional features with the US stock market: very high excess kurtosis and left skewness of the momentum returns. Considering the fact that momentum effect does not exist in korea, the distributional similarities make us more puzzled, but it also helps us to understand more domestic stock market with respect to momentum phenomenon. Second, the virtual investment of the risk-managed momentum portfolios can improve the sharp ratio of the momentum, as much as nearly double than an ordinary momentum strategy, consistent with the results of Barroso and Santa-Clara(2015). The momentum portfolios also lower the high kurtosis and make the skewness become less negative, being in favor of investors. These results come out of the risk-managed strategy based on the inverse linear relationship between expected risk and return of the momentum factor; that is, the forecasted variance from daily returns scales the exposure to momentum risk factor to have a constant variance over time. Third, the methodology of re-scaling the exposure to risk factors does work well only at the case of the momentum risk factor(WML), not at the case of other risk factors(RM, SMB, HML), implying that the methodology cannot be generalized to all types of risk factors. This is because only momentum risk factor shows the inverse linear relationship between expected risk and return of its own, and other risk factors do not.

높이뛰기의 바 넘기 동작을 위한 각운동량 분석

성낙준 한국운동역학회 2004 한국운동역학회지 Vol.14 No.3

R. J. SUNG. Analysis of the Angular Momentum for the Bar Clearance Motion in the Fosbury Flop. Korean Journal of Sport Biomechanics, Vol. 14, No. 3, pp. 119-134, 2004. The purpose of this study was to analyze the angular momentum characteristics of the Fosbury Flop high jump and the role of the body segments for the production of 3 angular momentum components. The subjects were three male jumpers who were former Korean national team players. Their jumping motions were analyzed using the DLT method of three-dimensional cinematography. The conclusions were as follows. 1. All the forward angular momentum needed to clear the bar was created in the take-off phase. Take-off leg was the great contributor of the forward angular momentum. On the other hand, free leg produced large opposite angular momentum. 2. All subject had some lateral angular momentum before the take-off phase. Head and free leg had major contribution to the lateral angular momentum production. Take-off leg produced opposite angular momentum. 3. All subject had some twisting angular momentum, which make the back of the athlete turn to the bar, before the take-off phase. Free leg was the major contributor of the twisting angular momentum. Head and trunk was the second contributor of the twisting angular momentum. 4. Total angular momentum needed to clear the bar had no significant correlation to the jumping height. 5. Subject who made excessive angular momentum showed different pattern of angular momentum production and had a poor record compared to other subject.

모멘텀 현상과 투자자 유형별주식거래 행태의 관련성 분석

김근수 한국금융학회 2018 금융연구 Vol.32 No.4

Recent papers document that price momentum appears in the Korean stock market after the Asian financial crisis, while earlier papers find only return reversal before the crisis. This paper, however, presents that price momentum in Korea is limited because past winners do not outperform other stocks except past losers in the Korean stock market. Momentum strategies, based on past six-month compounded returns, tend to have positive returns which are only attributed to low returns of past losers. Thus, the positive returns of the momentum strategy in Korea may not be classified as price momentum since past winners are not future winners. This paper presents that foreign investors play a critical role in generating price momentum in the Korean stock market after the Asian financial crisis by showing the following empirical results. First, when stocks are sorted based on the turnover ratio of foreign investors, past winners (losers) become future winners (losers) in the KOSPI market for stocks with high turnover ratios of foreign investors. Second, the winner portfolio that foreign investors intensively buy achieves the highest B/M and size adjusted returns, while the loser portfolio that they intensively short has the lowest B/M and size adjusted abnormal returns. Third, the trade imbalance of foreign investors has positive impact on stock returns in the Fama and MacBeth’ cross-sectional regression analysis, but that of domestic institutional investors do not. Fourth, past six-month returns have positive effects on future returns for stocks with top 20% highest turnover ratios of foreign investors. However, for KOSPI stocks excluding those stocks, past six-month returns have negative effects on future returns. This result suggests that return reversal appears among stocks even after the financial crisis that foreign investors do not actively participate in. In addition, foreign investors are momentum traders before and after portfolio formation in case of the winner (loser) portfolio that they actively buy (short), while individual investors are contrarian traders. However, domestic institutional investors are not momentum traders even in case of the winner (loser) portfolio that they actively buy (short). Thus, the trade interaction of foreign investors and individual investors is essentially important in generating price momentum. Specially, since price momentum is not found among stocks that foreign investors do not actively trade, momentum trading of foreign investors is essential in generating price momentum in Korea after the Asian financial crisis. This result is not consistent with the risk-premium hypothesis that attempts to explain price momentum. If price momentum is due to rewards for high risk of winner stocks, it is difficult to find any reason why this risk premium depends on the trading activities of foreign investors. On the other hand, two possible hypotheses in behavioral finance can account for the dependence of price momentum on the trade imbalance of foreign investors. According to Chui, Titman, and Wei (2010) and Daniel et al. (1998), foreign investors pursue momentum trading in the process of overreaction caused by their overconfidence and biased self attribution. On the other hand, foreign investors may pursue momentum trading in the process of correcting underreaction as Hvidkjaer (2006) suggests. In this scenario, the contrarian trading of individual investors delay reflection of foreign investors’ private information on the prices of winners and losers. Thus, the contrarian trading of individual investors is regarded as irrational behavior, while the momentum trading of foreign investors is as rational one. 본 연구는 외환위기 이후에 외국인투자자의 거래가 한국 주식시장에서 모멘텀 현상을발생시키는 핵심적인 역할을 한다는 분석 결과를 제시한다. 외국인이 집중적으로 매수하는 승자포트폴리오와 집중적으로 매도하는 패자 포트폴리오에서 모멘텀 현상이 뚜렷하게 나타난다. 이들 포트폴리오에서 외국인투자자는 모멘텀 거래를 추구한다. 그러나 국내 기관투자자가집중적으로 매수 및 매도하는 모멘텀 포트폴리오에서 모멘텀 현상은 뚜렷하게 발생하지 않고, 외국인투자자와는 달리 국내 기관투자자는 모멘텀 거래의 행태를 보이지 않는다. 횡단면회귀분석 결과에 의하면 외국인투자자의 순 매수세는 미래 수익률과 양(+)의 관련성을 지닌다. 또한 외국인투자자가 활발히 거래하는 주식에서만 수익률의 모멘텀 현상을 확인할 수 있다. 그러나 외국인투자자가 활발하게 거래하지 않는 주식의 경우 과거 수익률은 미래 수익률과음(-)의 관련성을 지닌다. 한국 주식시장의 모멘텀 현상은 외국인투자자 집중적으로 거래하는주식에서 주로 발생하는 현상이고, 외국인투자자의 모멘텀 거래와 개인투자자의 추세 역행적거래의 상호작용으로 발생한다고 이해할 수 있다.

단기 주간 모멘텀 현상의 존재와 수익률 분석

황준호 ( Jun Ho Hwang ) 한국파생상품학회(구 한국선물학회) 2015 선물연구 Vol.23 No.4

본 연구는 유가증권시장(KOSPI)에 상장된 종목을 이용하여 과거 1주 성과에 기반한 모멘텀 전략의 수익률과 장단기 지속성을 분석하였다. 또한 외환위기, 가격제한폭, 개별주식의 유동성 수준을 고려하여 주간 모멘텀 수익률의 원천 분석을 시도하였다. 주요결과는 다음과 같다. 첫째, 국내 주식시장에서 음의 주간 모멘텀 현상이 존재하였다. 과거 1주 수익률로 구성한 주간 모멘텀 포트폴리오는 장기 보유기간까지 통계적으로 유의한 음의 수익률을 가졌다. 이는 약 6개월에 해당하는 미래 수익률에 영향을 미칠 수 있는 음의 모멘텀지속성이 단기 구성기간에 내재함을 의미한다. 둘째, 외환위기 기간은 음의 주간 모멘텀 현상에 영향을 미치지 못하였다. 외환위기 이후 양의 월간 모멘텀 현상을 보고한 선행연구와 달리, 주간 모멘텀 포트폴리오는 전체기간과 외환위기 이후 기간 모두 음의 모멘텀 수익률을 가졌다. 이는 장단기 투자기간에 대한 모멘텀 현상의 특성과 체계적 위험을 고려한 분석 방법론의 차이에 기인한것으로 사료된다. 셋째, 가격제한폭 제도가 상대적으로 좁았던 시기에 양의 주간 모멘텀 현상이 발견되었으며 가격제한폭이 점차 확대될수록 음의 모멘텀 현상으로 변하였다. 마지막으로 유동성 수준이 낮은 주식들에게서 더 강하고 장기까지 지속하는 음의 주간 모멘텀 수익률이 나타났다. 하지만 유동성 수준이 높은 주식들에게서도 일부 구간에서 음의 모멘텀수익률이 발생하여 유동성 수준은 주간 모멘텀 수익률을 부분적으로 강화시킬 수있으나 전적으로 설명하기에는 한계가 있는 것으로 나타났다. This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

On the Angular Momentum Loss of Tropical Cyclones: An f-Plane Approximation

강현규,정형빈,김원호 한국기상학회 2018 Asia-Pacific Journal of Atmospheric Sciences Vol.54 No.1

The angular momentum for ideal axisymmetric tropical cyclones on the f-plane is investigated with a focus on the totalvolume integrated quantity. Budget analysis of the momentum equation at cylindrical coordinates shows that a tropical cyclone loses angular momentum during its development and mature stages due to the dynamical difference between the viscous inward-flow near the surface and the angular momentum conserving outwardflow aloft. The total relative angular momentum of a tropical cyclone, as a result, can be negative (i.e., implying anticyclonic rotation as a whole) despite intense cyclonic wind in the tropospheric layers. This anticyclonic rotation was measured in terms of the super-rotation ratio, the ratio of total relative angular momentum to the planetary angular momentum. Simulations with the numerical model of Weather Research and Forecasting (WRF) version 3.4.1 was found to be in favor of the theoretical angular-momentum budget analysis. It was revealed in the numerical simulations that the super-rotation ratio was negative, indicating a sub-rotation, as was predicted by analysis. The sub-rotation ratio was found to be less than one percent for typical tropical cyclones. To show the angular momentum decrease even in the decaying stage, numerical simulations where the thermal forcing by sea surface temperature switched off in the mature stage were carried out. In support of the angular momentum budget analysis, the results indicated that the angular momentum also decreases for a while soon after the forcing was eliminated.

이단평행봉 차오르기 시 운동량 및 각운동량의 분석

김승권,장창현 한국스포츠학회 2017 한국스포츠학회지 Vol.15 No.4

After analyzing horizontal and vertical linear momentum of arm, trunk and leg segments and whole body center of gravity, and angular momentum of arm, trunk and leg segments during the glide kip on the uneven bars for three elite elementary gymnastics players with two dimensional cinematography were as follows. During the glide kip, the linear momentum of arm, trunk and leg segments all showed upward vertical linear momentum and later horizontal linear momentum in order. During the glide kip, the angular momentum of segments were generated by arm, leg and trunk in order. During the glide kip, the vertical linear momentum of whole body center of gravity was affected by trunk linear momentum rather than leg linear momentum. 초등학교 엘리트 체조선수 3명의 이단평행봉 차오르기 시 팔, 몸통, 다리 및 신체중심의 수평 및 수직 운동량, 팔, 몸통 및 다리의 각운동량의 변화를 2차원 영상분석으로 분석한 결론은 다음과 같다. 차오르기 시 팔, 몸통 및 다리 분절의 운동량은 모두 상방의 수직운동량을 먼저 작용시키고 다음 전방의 수평운동량을 작용시켜야 하는 것으로 나타났다. 차오르기 시 각 분절의 각운동량은 팔 다리 몸통의 순으로 작용해야 하는 것으로 나타났다. 차오르기 시 신체중심의 수직운동량은 다리보다는 몸통에 의해 더 영향을 받는 것으로 나타났다.

한국주식시장에서 스타일모멘텀전략의 성과에 관한 연구

김동회(Kim, Dong-Hoe),서한주(Shu, Han-Joo) 대한경영학회 2008 大韓經營學會誌 Vol.21 No.5

골반 회전 유형 차이에 따른 태권도 주춤서 지르기의 분절별 선운동량 및 각운동량 전이 비교

최치선(Choi, Chi-Sun),박종율(Park, Jong-Yul) 한국체육과학회 2015 한국체육과학회지 Vol.24 No.5

The purpose of this study was to investigate the differences of the linear and angular momentum transfer in the Taekwondo Juchumseogi stance for different pelvic rotation players in the Jireugi. The motion capture system with sixty-two reflective markers attached on anatomic landmarks of the subject was used for the Jireugi motion data collection in the Taekwondo Juchumseogi stance. Eleven subjects were divided into a pelvis none pre-rotation group and a pelvis pre-rotation group based on their skill. The three-dimensional linear and angular momentums of the left/right lower extremities, left/right upper extremities, head, pelvis, trunk were used for kinetic chain analysis. Results showed that all players had lager backward/forward linear momentum. Comparison of pre-rotations showed that the pre-rotation group performed higher linear momentum in three components of the left/right lower extremities, head, pelvis, trunk linear momentum, and left upper extremities bending angular momentum than the none pre-rotation group significantly (p<.05). The pre-rotation group showed the tendency to transfer angular momentum gently in the vertical axis rotation in the acceleration phase than the none pre-rotation group. This information could improve training protocol design for teaching the Jiruegi in the Juchumseogi stance and teaching players, especially beginners, how to make an effective Jireugi.

농구 자유투 동작시 상지분절의 각운동량 전이 분석

양동영 한국운동역학회 2003 한국운동역학회지 Vol.13 No.1

Yang, D-Y. The Analysis of the transfer of angular momentum on upper extremity during Fee Throw Motion in Basketball. Korean Journal of Sport Biomechanics, Vol. 13, No. 1, 185-204 The purpose of this study was to obtain the data stable and accurate techniques of the free throw in basketball. The subjects of this study were seven male basketball player consisted of college students athletes. Free throw motions were taken by video camera. the three-dimensional coordinates was processed by DLT. The variables were the velocity, the angular velocity of the upper extremity segments, degree, and angular momentum. The result of analysis in summarized as follows. 1. The velocity and angular velocity of the upper extremity segment was showed an gradual increase and a smooth velocity transfer, transferring from proximal segment to distal segment at free throw motion in basketball. 2. The local term and remote term angular velocity momentum of the proximal segment showed larger than that of the distal segment in X, Y, Z axis component all. 3. The remote term angular momentum was showed larger than that of the local term angular momentum in X, Y, Z axis component all. 4. The angular motion of the upper trunk and upper arm, upper arm and forearm was showed in opposite direction and symmetrical angular momentum in local term angylar momentum of the Y and Z axis component. 5. All the segments of upper extremity segment was showed left rotation in remote term angular momentum of the Y axis component and right rotation in remote term angular momentum of the Z axis component.