Research on Profitable Strategies for Individual Investors Base on improved momentum strategy

Abstract

Momentum strategies did not receive widespread attention in the early days, and only gradually increased in stature as they were studied in depth, and have been widely recognized as efficient after decades of research, with many different improvement strategies proposed. The purpose of this paper is to explore strategies for evaluating and adjusting the profitability of individual investors. Using data from the S&P 500 as a pool of stocks and focusing on the large value stocks therein using a liquidity strategy that adjusts buying and selling on a monthly basis based on changes in the momentum of individual stocks, this paper successfully establishes a model of successful investing for the individual investor based on a momentum strategy, which contributes to a deeper understanding of the principle of excess returns of a momentum strategy as well as the investment risks that may be associated with it.