{"id":2073893,"date":"2017-12-16T13:14:18","date_gmt":"2017-12-16T07:44:18","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2073893"},"modified":"2017-12-16T13:14:18","modified_gmt":"2017-12-16T07:44:18","slug":"transaction-cost-analysis-momentum-strategy","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2017\/12\/16\/transaction-cost-analysis-momentum-strategy\/","title":{"rendered":"Transaction Cost Analysis of a Momentum Strategy"},"content":{"rendered":"<p>Momentum strategies have been on a tear over the last few years and have generally out-performed pure-value strategies. When we compare momentum returns with mutual funds, the most common criticism we encounter is that mutual fund returns are after transaction costs whereas our &#8220;Theme&#8221; returns are before transaction costs.<\/p>\n<figure id=\"attachment_2073903\" aria-describedby=\"caption-attachment-2073903\" style=\"width: 1200px\" class=\"wp-caption alignnone\"><a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551.png\" alt=\"\" width=\"1200\" height=\"800\" class=\"size-full wp-image-2073903\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551.png 1200w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551-300x200.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551-768x512.png 768w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551-1024x683.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/f8d6d324f7e88f972b6876f0dd807d551-250x167.png 250w\" sizes=\"auto, (max-width: 1200px) 100vw, 1200px\" \/><\/a><figcaption id=\"caption-attachment-2073903\" class=\"wp-caption-text\">Momo (Relative) v1.1 vs ABSL S&amp;M Fund (Annualized returns are 85.50% and 35.12%, respectively.)<\/figcaption><\/figure>\n<p>The challenge we face in showing post-cost returns is that we offer different brokerage slabs to different types of clients, making a one-cost-fits-all analysis impossible. However, we can show how different brokerage slabs impact returns.<\/p>\n<p><a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis.png\" alt=\"\" width=\"1200\" height=\"800\" class=\"alignnone size-full wp-image-2073913\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis.png 1200w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis-300x200.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis-768x512.png 768w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis-1024x683.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/12\/Transaction-cost-analysis-250x167.png 250w\" sizes=\"auto, (max-width: 1200px) 100vw, 1200px\" \/><\/a><\/p>\n<p>A gross return of 83.82% translates to returns of 74.20%, 69.58% and 65.08% for brokerage slabs of 0.1%, 0.05% and 0% respectively (STT of 0.1% was assumed.) Momentum out-performs even after transactions costs.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Momentum strategies have been on a tear over the last few years and have generally out-performed pure-value strategies. When we compare momentum returns with mutual funds, the most common criticism we encounter is that mutual fund returns are after transaction costs whereas our &#8220;Theme&#8221; returns are before transaction costs. The challenge we face in showing &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2050001,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3491,960],"class_list":["post-2073893","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-momentum","tag-returns","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2073893","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2073893"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2073893\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2050001"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2073893"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2073893"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2073893"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}