Package org.drip.investing.factorspec

Class MomentumCategory

java.lang.Object
org.drip.investing.factorspec.MomentumCategory
public class MomentumCategory
extends java.lang.Object
MomentumCategory holds the Settings of the Momentum Factor Category. The References are:

  • Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums Journal of Financial Economics 142 (3) 1128-1154
  • Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return Journal of Portfolio Management 34 (1) 102-113
  • Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936 eSSRN
  • Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market Financial Analysts Journal 73 (2) 100-115
  • Wikipedia (2024): Factor Investing https://en.wikipedia.org/wiki/Factor_investing


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int LOSER
    The "Loser" Momentum Factor Category
    static int UNDEFINED
    The "Undefined" Momentum Factor Category
    static int WINNER
    The "Winner" Momentum Factor Category

  • Constructor Summary

    Constructors
    Constructor Description
    MomentumCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • UNDEFINED

      public static final int UNDEFINED
      The "Undefined" Momentum Factor Category
      See Also:
      Constant Field Values

    • WINNER

      public static final int WINNER
      The "Winner" Momentum Factor Category
      See Also:
      Constant Field Values

    • LOSER

      public static final int LOSER
      The "Loser" Momentum Factor Category
      See Also:
      Constant Field Values

  • Constructor Details

    • MomentumCategory

      public MomentumCategory()