For an illiquid asset class such as art, many individual assets do not trade within commonly used
return measurement intervals (such as a year).
We compare correlations by ranked fifth (quintile) of VIX at the end of the past
return measurement interval to determine (in - sample) optimal time series momentum measurement intervals for different ranges of VIX.
We compare correlations by ranked fifth (quintile) of VIX at the end of the past
return measurement interval to determine (in - sample) optimal time series momentum measurement intervals for different ranges of VIX.
There is only one
return measurement interval and therefore no compounding effect (ignoring the difference between arithmetic and geometric means).
Not exact matches
The past
return interval for momentum
measurement is four weeks, augmented by a one - week delay in portfolio formation to avoid short - term reversal.
For initial strategy tests, they consider past
return measurement (lookback) and holding
intervals of 1, 3, 6, 9, 12, 24, 36 or 48 months.
In robustness tests, he considers past
return measurement and holding
intervals of one, three, nine and 12 months.