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1. 1. MERGING MOMENTUM -THE EFFECTS OF COMBINED CRASH MITIGATING STRATEGIES

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Kavleskog; John Rolfsson; [2020-07-07]
   Nyckelord :momentum; momentum strategies; merging momentum; momentum crash; dynamic momentum; absolute strength momentum; extreme absolute strength momentum; risk-adjusted return; crash mitigating momentum;

   Sammanfattning : Momentum strategies offer tempting expected returns but suffer from occasional momentum crashes. Crash mitigating strategies, such as the Absolute momentum (Gulen and Petkova, 2018) and Extreme absolute strength momentum (Yang and Zhang, 2019), have proven effective in alleviating momentum crashes, while also offering better risk-adjusted returns compared to relative momentum strategies. LÄS MER