This study examines how fundamental accounting information can be used to supplement
technical information to separate momentum winners from losers. We first introduce a ratio of …

The premium on the bank's NOW account deposits ranges betuveen–16% to+ 12% over the
sample period, uith an average life (of the deposits liability) of betuveen 7.8 and 9.8 years …

The aim of this paper is twofold. First, we investigate whether oil market volatility affects fund
performance. Second, we examine whether oil volatility impacts fund managers' ability to …

It is well documented that past winning stocks continue to outperform past losing stocks in
numerous equity markets. However, existing Australian evidence on the momentum effect is …

ABSTRACT The Black–Litterman (BL) model allows investors to apply their subjective views
to asset allocation optimisation. In this study, we construct a multi-asset allocation portfolio of …

Futures markets have seen a phenomenal success since their inception both in developed
and developing countries during the last four decades. This success is attributable to the …

Most long-term institutional investors follow a three-step process to meet their investment
objectives. First, a feasible set of investment vehicles is identified. To make investment …

We propose a new class of flexible and investable stock-market indices that partition a
benchmark index into momentum and contrarian sub-indices. The creation of momentum …

This article examines the puzzlingly high unexploited momentum returns from a new
perspective. We analyse characteristics of momentum traders in a sample of 692 fund …

Several versions of the Markowitz portfolio model are evaluated with respect to patterns in
the equity markets. Much research has shown that strategies based on momentum have …