Practical Applications of Momentum and Covered Calls Almost Everywhere

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