Momentum Investment

The experimental part is largely divided into three sections: the stock long-only momentum portfolio, the sector-stock long-only momentum portfolio, and the HMM index long-only momentum portfolio. We use adjusted prices of 960 stocks listed on KOSPI, 19 industry indices, and the KOSPI index from January 2000 to December 2018 provided by Fn-Guide, which is a database of Korean stock markets. We exclude assets with missing data within the formation or holding periods from the portfolio. In all experiments in this study, we use a long-only absolute momentum strategy to construct a traditional momentum portfolio based on the linear model as well as an HMM momentum portfolio based on the nonlinear AI model. Then, the performance of these two portfolios is compared by monthly average returns.