Abstract
Given the key role of momentum-based trading strategies in active investing, assessing the merits of various trading strategies based on momentum should be of value to investors and managers alike. We summarise five momentum-based trading strategies which are well analysed in the academic literature, and introduce our new strategy named partial moment momentum (PMM) which distinguishes between upside and downside risks in the calculation of positions. Some empirical analyses suggest PMM outperforms the existing strategies.
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