Risk-return ratio based momentum strategies fail to generate significant returns.
The article explores new ways to pick stocks based on their risk and return ratios, rather than just their returns. The researchers tested these methods on the KOSPI 200 market from 2006 to 2012. They found that strategies based on returns over 3 or 6 months tended to make money, but those over 9 or 12 months did not. Surprisingly, strategies based on risk-return ratios did not perform better than just looking at returns.