文章基本信息

标题：Maximum Drawdown, Recovery, and Momentum
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作者：Choi, Jaehyung
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2021
卷号：14
期号：11
页码：1-25
DOI：10.3390/jrfm14110542
语种：English
出版社：MDPI, Open Access Journal
摘要：We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in forecasting directions of asset prices but also in capturing cross-sectional return differentials. In monthly periods, the alternative portfolios ranked by maximum drawdown measures exhibit outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios. In weekly time scales, recovery-related stock selection rules are the best ranking criteria for detecting mean-reversion. For the alternative portfolios and their ranking baskets, improved risk profiles in various reward-risk measures also imply more consistent prediction on the direction of assets in future. Moreover, turnover rates of these momentum/contrarian portfolios are also reduced with respect to the benchmark portfolios. In the Carhart four-factor analysis, higher factor-neutral intercepts for the alternative strategies are another evidence for the robust prediction by the alternative stock selection rules.
关键词：momentum; mean-reversion; maximum drawdown; recovery; alternative stock selection rules