個案資料
了解個案內容與學習目標，選擇授課教師及使用課程。
Adam Bain and the Price Momentum Strategy
內容大綱
An investment advisor in an RBC Dominion Securities Inc. branch office, was considering whether or not to implement a price momentum strategy for his clients. Trend and Cycle, Dominion Securities' technical research department, had recently circulated a copy of a study which described a simple price momentum model and referred to its startling results based on back-testing the strategy over a fifteen-year period. The Trend and Cycle group had long promoted the importance of price momentum and relative strength to potential clients. The investment advisor needed to determine whether the proposed model was too good to be true or, if it did look promising, how he would go about implementing such a strategy for his clients.
學習目標
The objectives of this case are to: provide an understanding of price momentum (relative strength) strategies; allow a critical evaluation of empirical studies based on historical data, including such potential biases as the survivorship bias; examine technical details involved in the implementation of investment strategies.