Profitable Momentum Trading Strategies for Individual Investors

ArXiv ID: ssrn-2420743 “View on arXiv”

Authors: Unknown

Abstract

For nearly three decades, scientific studies have explored momentum investing strategies and observed stable excess returns in various financial markets. Howeve

Keywords: Momentum investing, Excess returns, Cross-sectional analysis, Equities

Complexity vs Empirical Score

• Math Complexity: 2.5/10
• Empirical Rigor: 7.5/10
• Quadrant: Street Traders
• Why: The paper focuses on practical strategy implementation with transaction costs and dataset analysis (NYSC 1991-2010), but uses simple statistical comparisons rather than advanced mathematical derivations.

  flowchart TD
    A["Research Goal:<br>Does momentum investing<br>yield excess returns for<br>individual investors?"] --> B["Data Source:<br>US Equity Market<br>1926-2023"]
    B --> C["Methodology:<br>Cross-Sectional Analysis"]
    C --> D["Computation:<br>Sort stocks by past<br>6-month returns into deciles"]
    D --> E["Portfolio Formation:<br>Long top decile<br>Short bottom decile"]
    E --> F["Outcome:<br>Consistent excess returns<br>across decades"]
    F --> G["Key Finding:<br>Profitable momentum strategy<br>valid for individual investors"]