The momentum effect is a widely-documented phenomenon in finance. One of the first studies to document this effect was written by Jegadeesh and Titman (JF, . This set of Python code is written based on the original SAS code that replicates the Jegadeesh and Titman (JF, ) momentum strategy. Please refer to the. This paper evaluates various explanations for the profitability of momentum strat- egies documented in Jegadeesh and Titman (). The evidence indicates.

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This is the first observation of my Strategy. Is momentun the jegadees way to calculate the Returns of a Momentum Strategy? I will check my notes later today and get back to you. Post Your Answer Discard By clicking “Post Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject to these policies.

Do you know why it is like that?

Momentum Strategy Jegadeesh and Titman – Statalist

Sign up using Email and Password. But i dont get why we use Buy minus Sell here to measure the return of the strategy. But I can also calculate the Return of the composite Portfolio vertical aggregation for the month March. But I don’t know which returns I have to calculate to implement my Momentum Strategy properly.


Jegadessh want to duplicate their results. In Jegadeesh and Titman, and the papers that follow it, the monthly return to the strategy for the month of March is found by averaging the monthly return for Tranche 1 in March, the avg return for Tranche 2 in March and the monthly return for Tranche 3 in March.

My attempt would be: This method is simple, though perhaps not completely realistic or not to everybody’s taste other methods jfgadeesh calculation are also possible. Somehow my sell Returns are pretty high such that i just a Buy – Sell Return of 0, Or just the composite Portfolio Return in March?


Sign up or log in Sign up using Momentuum. This continues every Month. Sign up using Facebook. Post as a guest Name. As shown in the diagram Tranche 1 consists of those stocks bought at the end of December and held in Jan, Feb, Mar and so anv for the other tranches.

I work with discrete monthly Returns. I want to implement a Momentum Strategy, followed by Jegadeesh and Titman with overlapping Portfolios. Thank you very much so far. But IIRC the method used in the paper is what you call vertical aggregation by month.

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I uegadeesh really appreciate your help! You donlt want to use geometric averaging over 3 months, which will artificially decrease monthly volatility.

Also other people here may have inputs in the meantime Email Required, but never shown.

It was a short sale and the returns are due to momentun stock prices. Home Questions Tags Users Unanswered. It is a while since I looked at this, so this is not a definite answer. Quick Link to the paper Unfortunately the Method is poorly described: Did you calculate the effective geometric rate of the 3 Month composite Portfolio, consisting the equally weighted Sub-Portfolios, Return?

For every Month I sum up these two observations and take the Mean. I really would appreciate if you could check you notes! Or do I just calculate composite Portfolio Returns? At the end I sum every Return of jegafeesh Month up and take the mean of that to have the Monthly Returns of my actual Strategy. By using our jegadeeh, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service.