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Visar resultat 1 - 5 av 104 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period

    Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

    Författare :Alex Holm; Ellioth Tilly; Thomas Eklind; [2023-09-01]
    Nyckelord :Momentum strategies; Volatility; Excess return; Jensen s Alpha; Covid -19. 1;

    Sammanfattning : The momentum strategy is a widely recognized investment approach that aims to generate abnormal returns by buying past winners and selling past losers. The purpose of this thesis is to investigate if the momentum strategy is applicable at Swedish industries and see if there are any differences between a longer and shorter holding and ranking period. LÄS MER

  3. 2. Comparison of High ESG Portfolio Performance in Germany and Switzerland

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Nino Shakulashvili; Saud Talic; [2023-06-29]
    Nyckelord :ESG; Portfolio Performance; Fama French; Carhart; Risk Factors; Value; Size; Momentum; Germany; Switzerland;

    Sammanfattning : This study focuses on the relationship between stock return performance and sustainability, the latter taking the form of the Environmental, Social, and Governance (ESG) framework. The paper provides a comparative setting in which stocks of companies headquartered in Germany and Switzerland are examined. LÄS MER

  4. 3. Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Oscar Bodin; Pär Börjeson; [2023-06-29]
    Nyckelord :;

    Sammanfattning : This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. LÄS MER

  5. 4. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Datalogi

    Författare :Rebecca Fällström; [2023]
    Nyckelord :Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Sammanfattning : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. LÄS MER

  7. 5. The Power of the Tides : A Quantitative Study Investigating the Momentum Strategy with 30 Industries

    Kandidat-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Oscar Estéen; Jonathan Landahl; Hugo Karlsson; [2023]
    Nyckelord :Momentum strategy; industry momentum; risk management; market anomalies; momentum investing; portfolio management;

    Sammanfattning : Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. LÄS MER