Sentences with phrase «monthly changes in momentum»

Since the third quarter of 2009, monthly changes in the VIX have explained nearly 50 % of the monthly changes in momentum returns.

Not exact matches

We also test whether: (1) monthly change in VIX affects time series momentum for the S&P 500 Index; and, (2) VIX level affects time series momentum for another asset class (spot gold).

However, during periods of market turbulence, defined as the top quintile of monthly changes in the VIX (corresponding with about a 15 % or greater rise in the spot VIX Index), momentum underperformed quality by approximately 40 bps per month.

From 1990 to the end of the financial crisis, monthly changes in volatility explained approximately 30 % of the monthly variation in momentum returns, with momentum more likely to post negative returns when volatility is rising.

In checking data for the monthly update of «Momentum Strategy», we discovered changes in historical dividend / split - adjusted prices for the following strategy componentIn checking data for the monthly update of «Momentum Strategy», we discovered changes in historical dividend / split - adjusted prices for the following strategy componentin historical dividend / split - adjusted prices for the following strategy components:

From 1990 to the end of the financial crisis, monthly changes in volatility explained approximately 30 % of the monthly variation in momentum returns, with momentum more likely to post negative returns when volatility is rising.