Sökning: "volatility adjusted momentum"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden volatility adjusted momentum.

1. 1. 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

3. 2. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Tommy Saliba; Philip Thulin; [2021-06-30]
   Nyckelord :Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

   Sammanfattning : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. LÄS MER

4. 3. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Felix Nilsson; Bastiaan Picone; [2021-06-30]
   Nyckelord :Momentum Strategies; Momentum; Price Momentum; Idiosyncratic Momentum; Alpha Momentum; Momentum Adaptations; Constant-Volatility Scaling; Momentum Crash; Nordic Momentum; Volatility; Anomaly; Stock Returns;

   Sammanfattning : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. LÄS MER

5. 4. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Nguyen Cao; Natalia Vdovina; [2019-07-02]
   Nyckelord :momentum; momentum strategy; momentum crash; volatility; transaction costs; turnover; return; volatility adjusted momentum; volatility timing;

   Sammanfattning : Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we address the first problem with volatility timing strategies developed by Daniel and Moskowitz (2016) and Moreira and Muir (2017). LÄS MER

7. 5. Smart Beta Factor Investing

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alex Mikaelsson; Martin Nilsson; [2017]
   Nyckelord :Smart Beta; Factor Investing; Efficient Markets; Asset Allocation; Business and Economics;

   Sammanfattning : In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. LÄS MER