Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data

Arik Ben Dor, Jingling Guan and Carlo Rosa
The Journal of Portfolio Management July 2020, jpm.2020.1.156; DOI: https://doi.org/10.3905/jpm.2020.1.156
Arik Ben Dor
is a managing director and head of Quantitative Equity Research at Barclays in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Jingling Guan
is a director in the Quantitative Portfolio Strategy Group at Barclays in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Carlo Rosa
is a director in the Quantitative Portfolio Strategy Group at Barclays in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

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
EMEA: +44 0207 139 1600

Abstract

Do corporate bond return dynamics contain information that is not already fully reflected in equity prices despite the lower liquidity of credit markets? Using a comprehensive dataset of US corporate bond pricing and analytics, the authors show that daily bond returns can be used to construct a high-frequency equity momentum strategy. A long–short portfolio formed by ranking stocks on past daily excess returns of bonds issued by the same firms generated annual returns of 18% on average since 2001 with an information ratio of over 1.8. The performance was consistent over time and across economic states and different geographies and remained significant after controlling for commonly used equity factors. Momentum and mean-reversion strategies applied to the same universe of companies but instead using daily equity data did not generate similar results.

TOPICS: Portfolio theory, portfolio construction, equity portfolio management

Key Findings

  • • Daily corporate bond pricing data can be used in constructing a high-frequency equity momentum strategy.

  • • A daily trading strategy that buys stocks whose bonds outperformed relative to peers and shorts stocks whose bonds underperformed relative to peers generates an improved risk–return profile compared with a similar trend strategy based on daily equity price dynamics.

  • • The strategy is attractive both in isolation and in combination with other strategies, delivering significant risk-adjusted alpha.

  • © 2020 Pageant Media Ltd
View Full Text

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

Log in using your username and password

Forgot your user name or password?
Next
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 49 (3)
The Journal of Portfolio Management
Vol. 49, Issue 3
February 2023
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data
Arik Ben Dor, Jingling Guan, Carlo Rosa
The Journal of Portfolio Management May 2020, jpm.2020.1.156; DOI: 10.3905/jpm.2020.1.156

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data
Arik Ben Dor, Jingling Guan, Carlo Rosa
The Journal of Portfolio Management May 2020, jpm.2020.1.156; DOI: 10.3905/jpm.2020.1.156
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATA SOURCES AND FIRM COVERAGE
    • PERFORMANCE OF BOND-RANKED DAILY PORTFOLIOS
    • CHARACTERISTICS OF THE D-BEAM SIGNALS
    • DIVERSIFICATION BENEFITS OF D-BEAM
    • CONSISTENCY OF D-BEAM PERFORMANCE
    • CONCLUSIONS
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
reply@pm.research.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2023 With Intelligence Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies