सभी किताबें

पेशेवर

ऐप्स परिचय Coach लॉग इन पढ़ना शुरू करें

Quantitative Finance · शब्दावली

Residual momentum, industry momentum क्या है?

अन्य नाम: residual momentum · industry momentum

Definition 5.2 Strategies I: Equities and Futures · अध्याय 5 — Momentum

Residual momentum ranks stocks on the sum of their factor-model residual returns over the formation window, divided by the residuals’ standard deviation, instead of on their total returns. Industry momentum ranks industries on their past returns and buys the stocks of the winning industries and sells those of the losing ones.

The three momentum books on the synthetic market, net of ten basis points per unit traded: cumulative returns (gross exposure one). Data: s1_momentum.book.
Figure 5.1. The three momentum books on the synthetic market, net of ten basis points per unit traded: cumulative returns (gross exposure one). Data: s1_momentum.book.
अध्याय में पढ़ें →