This preview shows pages 1–2. Sign up to view the full content.
Candice Ward
FIN 5190
Procedure
Momentum procedure presupposes that the stocks that perform the best and worst in a
given month will continue to move in the same direction in the coming month.
Thus, the poorest
performer would be shorted in the following month and the long investment would be in the best
performer.
The data set included the 100 permno’s as converted by CUSIP pulled from January 1990
to January 2008.
The return date for the following month, when not available, was calculated as
the average return of the available returns.
These values were sorted by month and year and the
returns for that month.
The data outside of the maximum companies and minimum companies
was discarded.
The data set for the riskfree rate was obtained from Federal Reserve St. Louis.
The
annual rate given as a percentage was divided by 1200 inside of Matlab to obtain the monthly
risk free interest rate.
The S&P returns were obtained from Yahoo! Finance and the monthly rate
of return was calculated in Excel.
Matlab was coded to take the profits from the maximum, the negative value of those
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
This is the end of the preview. Sign up
to
access the rest of the document.
 Fall '09
 Li

Click to edit the document details