In a quest for an improved momentum strategy

Detalhes bibliográficos
Autor(a) principal: Gouveia, Jorge Fresta Homem de
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/156163
Resumo: Momentum is one of the most studied anomalies in the literature. For decades it delivered significant excess returns, however lately it has been underperforming. In this work I show that by combining a dual momentum strategy with risk parity weighting and volatility scaling, a considerable amount of the momentum strategies downfalls can be solved, while increasing the Sharpe Ratio almost five times in comparison with the default momentum strategy, and dramatically reducing the tail and crash risk. These results are further improved, after combining with the remaining strategies from my group, using Markowitz’ portfolio optimization theory.
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spelling In a quest for an improved momentum strategyConstant-volatilityMomentumTrend-followingRisk parityBeta targetingDomínio/Área Científica::Ciências Sociais::Economia e GestãoMomentum is one of the most studied anomalies in the literature. For decades it delivered significant excess returns, however lately it has been underperforming. In this work I show that by combining a dual momentum strategy with risk parity weighting and volatility scaling, a considerable amount of the momentum strategies downfalls can be solved, while increasing the Sharpe Ratio almost five times in comparison with the default momentum strategy, and dramatically reducing the tail and crash risk. These results are further improved, after combining with the remaining strategies from my group, using Markowitz’ portfolio optimization theory.Hirschey, NicholasRUNGouveia, Jorge Fresta Homem de2023-08-02T11:34:12Z2023-01-132022-12-162023-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/156163TID:203310810enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:38:46Zoai:run.unl.pt:10362/156163Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:56:21.934144Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv In a quest for an improved momentum strategy
title In a quest for an improved momentum strategy
spellingShingle In a quest for an improved momentum strategy
Gouveia, Jorge Fresta Homem de
Constant-volatility
Momentum
Trend-following
Risk parity
Beta targeting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short In a quest for an improved momentum strategy
title_full In a quest for an improved momentum strategy
title_fullStr In a quest for an improved momentum strategy
title_full_unstemmed In a quest for an improved momentum strategy
title_sort In a quest for an improved momentum strategy
author Gouveia, Jorge Fresta Homem de
author_facet Gouveia, Jorge Fresta Homem de
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Gouveia, Jorge Fresta Homem de
dc.subject.por.fl_str_mv Constant-volatility
Momentum
Trend-following
Risk parity
Beta targeting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Constant-volatility
Momentum
Trend-following
Risk parity
Beta targeting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Momentum is one of the most studied anomalies in the literature. For decades it delivered significant excess returns, however lately it has been underperforming. In this work I show that by combining a dual momentum strategy with risk parity weighting and volatility scaling, a considerable amount of the momentum strategies downfalls can be solved, while increasing the Sharpe Ratio almost five times in comparison with the default momentum strategy, and dramatically reducing the tail and crash risk. These results are further improved, after combining with the remaining strategies from my group, using Markowitz’ portfolio optimization theory.
publishDate 2022
dc.date.none.fl_str_mv 2022-12-16
2023-08-02T11:34:12Z
2023-01-13
2023-01-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/156163
TID:203310810
url http://hdl.handle.net/10362/156163
identifier_str_mv TID:203310810
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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