The possibility of combining the ranking period logic of contrarian (momentum) strategies with the holding period logic of momentum (contrarian) strategies to form hybrid strategies motivates us to evaluate several investment strategies using data on over 2500 stocks from 1956 to 2015. We find that hybrid strategies ranked like contrarian strategies over the long term but held like momentum strategies over the medium term, which we call contratum strategies, outperform momentum and contrarian strategies. A contratum strategy ranked over 60 months and held over 3 months earns a significant monthly hedged return of about 0.7%, compared to standard momentum and contrarian strategies’ respective returns of about 0.6% and 0.4%. We subject our results to several robustness tests and find that the performance of the strategies is not crowded out by other anomalies (e.g., the size effect, January effect), risk, liquidity, volatility or macroeconomic factors.

中文翻译：

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混合逆势策略对动量和逆势策略的主导地位：半个世纪的证据

将逆势（动量）策略的排序期逻辑与动量（逆势）策略的持有期逻辑结合形成混合策略的可能性促使我们使用 1956 年至 2015 年超过 2500 只股票的数据来评估几种投资策略。我们发现混合策略的长期排名与逆势策略相似，但在中期与动量策略相似，我们称之为逆向策略、跑赢动量和逆势策略。排名超过 60 个月并持有超过 3 个月的逆向策略可赚取约 0.7% 的显着月度对冲回报，而标准动量策略和逆向策略各自的回报约为 0.6% 和 0.4%。