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1. 1. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   Master-uppsats, KTH/Fastighetsföretagande och finansiella system

   Författare :Erik Huss; Mario Ishak; [2022]
   Nyckelord :Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Sammanfattning : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. LÄS MER