Does Momentum Profit Exist in Australia—A Systematic Analysis of Price and Alpha Momentum Strategies

This paper examines the momentum strategy in Australia under the debate on whether momentum strategy is profitable in Australia. It studies both the price and alpha momentum strategy performance under several lookback periods, and applies short position adjustment and volatility scaling. I conclude that: (1) the long-only portfolios of the price, risk-adjusted price, and alpha momentum strategies generate significant returns for the 9- and 12-month lookback period, and the short positions add no benefits; (2) volatility scaling can enhance the momentum performance to some extent; (3) the momentum strategy profitability is robust for large stocks, but not applicable to the whole Australian market. These conclusions are supported by some empirical evidence, though there are potential limitations of this study