Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Practical Applications Summary
In Momentum and Covered Calls Almost Everywhere, from the Winter 2018 issue of The Journal of Investing, Stephen J. Choi (of LORA Technologies), Gil-Lyeol Jeong, and Hogun Park (both of Mirae Asset Group) examine two strategies based on the notion of autocorrelation of returns. They consider a time series momentum/trend following strategy (associated with positive autocorrelation) and a covered call strategy (associated with negative autocorrelation). Examining five equity indexes and five commodity indexes, and considering performance over intervals of 10 and 20 years, the authors find that both strategies generally outperform a basic buy-and-hold approach—and that combining the two strategies produces even better performance
TOPICS: Options, statistical methods, performance measurement, portfolio construction
- The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600