Momentum Trading Strategies for Industry Groups: A Closer Look

This paper builds on Jegadeesh and Titman (1993) and Grinblatt and Moskowitz (1999) to take a closer look at intermediate-term momentum trading strategies for industry groups. Specifically, it is found that: momentum trading strategies for industry groups are significantly more profitable when we include more industries in the universe and purchaselsell fewer winningllosing industries in the strategy; the winner and loser portfolios are made up of cyclical industries; industry momentum peaks after a total time period (evaluation period plus holding period) of thirteen to fourteen months, regardless of the number of industries examined; returns to momentum trading strategies vary significantly throughout the year, and June and December are by far the most significant months for momentum profits; and, the winners momentum portfolio outperforms the market in 6 out of 9 bear markets during the sample period, even though this strategy i s perceived as much riskier because of industry concentration.