PT - JOURNAL ARTICLE AU - Stephen J. Choi AU - Gil-Lyeol Jeong AU - Hogun Park TI - Momentum and Covered Calls <em>Almost</em> Everywhere AID - 10.3905/joi.2018.27.4.047 DP - 2018 Nov 30 TA - The Journal of Investing PG - 47--57 VI - 27 IP - 4 4099 - https://pm-research.com/content/27/4/47.short 4100 - https://pm-research.com/content/27/4/47.full AB - This article examines times series momentum and covered call strategies through conventional representations across ten asset classes. The performance of the two strategies generally outperform static buy and hold investments and are classified as positive and negative autocorrelation factors. The tactical overlay of time series momentum and covered call strategies onto asset classes are considered asset transformations. The two transformed replacements of the underlying asset are incorporated into well-established risk-based allocation heuristics, such as maximum diversification and equal risk contribution. The resulting portfolios show enhanced risk-adjusted performance compared with corresponding buy and hold investments or individual strategy portfolios. The authors designate this global tactical asset allocation framework as autocorrelation factor allocation (ACFA).TOPICS: Options, statistical methods, performance measurement, portfolio construction