In this study, we decompose momentum indicators for the Japanese stock market into two components, high-to-price and price-to-high. High-to-price has a lower downside risk and higher Sharpe ratio than price-to-high. We find that a conventional momentum strategy combines the characteristics of high-to-price in a bull market and those of price-to-high in a bear market. In particular, the large drawdowns of momentum strategies reported in previous studies seem to be largely owed to those of price-to-high in bear markets. It is possible that the mechanism generating factor returns differs among the three strategies.

中文翻译：

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分解日本股市的动力

在本研究中，我们将日本股市的动量指标分解为两个组成部分：最高价与最高价比。高价比比价比高价具有更低的下行风险和更高的夏普比率。我们发现，传统的动量策略结合了牛市中的高价与熊市中的价高特征。特别是，之前的研究中报告的动量策略的大幅下跌似乎很大程度上归因于熊市中的价格至高点策略。三种策略的回报因子生成机制可能有所不同。