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July 9th, 2014 | The Journal of Investing

Gerstein Fisher Momentum Research Published in The Journal of Investing

Momentum’s Hidden Sensitivity to the Starting Day,” a Gerstein Fisher Research Center paper by Philip Z. Maymin, Zakhar G. Maymin and Gregg S. Fisher, was published in the Summer 2014 issue of The Journal of Investing.  In the paper, the authors show that the profitability of time-series momentum strategies on commodity futures across their entire history is strongly sensitive to the starting day. Portfolio managers should be aware of this latent risk, the paper argues, given its potential to turn a successful strategy into an unsuccessful one.

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