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Practical Applications

Practical Applications

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Practical Applications of Momentum and Covered Calls Almost Everywhere

Stephen J. Choi, Gil-Lyeol Jeong and Hogun Park
Practical Applications 6 (4) DOI: https://doi.org/10.3905/pa.6.4.321
Stephen J. Choi
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Gil-Lyeol Jeong
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Hogun Park
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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.
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Practical Applications: 6 (4)
Practical Applications
Vol. 6, Issue 4
30 Apr 2019
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Practical Applications of Momentum and Covered Calls Almost Everywhere
Stephen J. Choi, Gil-Lyeol Jeong, Hogun Park
Practical Applications Apr 2019, 6 (4) DOI: 10.3905/pa.6.4.321

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Practical Applications of Momentum and Covered Calls Almost Everywhere
Stephen J. Choi, Gil-Lyeol Jeong, Hogun Park
Practical Applications Apr 2019, 6 (4) DOI: 10.3905/pa.6.4.321
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  • Article
    • Practical Applications Summary
    • Overview
    • Practical Applications
    • Key Definitions
    • Discussion
    • UNIVERSE AND DATA
    • TIME SERIES MOMENTUM
    • COVERED CALLS
    • RISK-BASED ALLOCATION METHODS ON AUTOCORRELATION FACTORS
    • CAVEATS
    • Stephen J. Choi
    • Gil-Lyeong Jeong
    • Hogun Park
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