Nova student portfolio: enhancing performance through different investment styles

Detalhes bibliográficos
Autor(a) principal: Mello, Pedro Henrique Abreu Parente De
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/105930
Resumo: This paper tried to build a strategy that beats the S&P 500using its constituents, when incorporating moving average crossover on sectors as well as using value and growth factors to pick stocks, using weekly rebalancing. Moreover, this strategy was implemented in a portfolio composed by40% Equity and 60% Bonds and tested with transaction costs(even though its realistic as the NSP does not pay fees). Finally, the results show that a long-portfolio of 40 stocks on S&P 500 equities, with a weekly holding period, presents only satisfactory results for certain types of investors.
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spelling Nova student portfolio: enhancing performance through different investment stylesAsset allocationGrowth investingMomentum investingValue investingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper tried to build a strategy that beats the S&P 500using its constituents, when incorporating moving average crossover on sectors as well as using value and growth factors to pick stocks, using weekly rebalancing. Moreover, this strategy was implemented in a portfolio composed by40% Equity and 60% Bonds and tested with transaction costs(even though its realistic as the NSP does not pay fees). Finally, the results show that a long-portfolio of 40 stocks on S&P 500 equities, with a weekly holding period, presents only satisfactory results for certain types of investors.Ribeiro, Gonçalo SommerRUNMello, Pedro Henrique Abreu Parente De2020-10-20T15:28:16Z2020-01-132020-01-032020-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105930TID:202494543enginfo: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:RCAAP2024-03-11T04:51:09Zoai:run.unl.pt:10362/105930Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:38.274036Repositório 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 Nova student portfolio: enhancing performance through different investment styles
title Nova student portfolio: enhancing performance through different investment styles
spellingShingle Nova student portfolio: enhancing performance through different investment styles
Mello, Pedro Henrique Abreu Parente De
Asset allocation
Growth investing
Momentum investing
Value investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Nova student portfolio: enhancing performance through different investment styles
title_full Nova student portfolio: enhancing performance through different investment styles
title_fullStr Nova student portfolio: enhancing performance through different investment styles
title_full_unstemmed Nova student portfolio: enhancing performance through different investment styles
title_sort Nova student portfolio: enhancing performance through different investment styles
author Mello, Pedro Henrique Abreu Parente De
author_facet Mello, Pedro Henrique Abreu Parente De
author_role author
dc.contributor.none.fl_str_mv Ribeiro, Gonçalo Sommer
RUN
dc.contributor.author.fl_str_mv Mello, Pedro Henrique Abreu Parente De
dc.subject.por.fl_str_mv Asset allocation
Growth investing
Momentum investing
Value investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Asset allocation
Growth investing
Momentum investing
Value investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper tried to build a strategy that beats the S&P 500using its constituents, when incorporating moving average crossover on sectors as well as using value and growth factors to pick stocks, using weekly rebalancing. Moreover, this strategy was implemented in a portfolio composed by40% Equity and 60% Bonds and tested with transaction costs(even though its realistic as the NSP does not pay fees). Finally, the results show that a long-portfolio of 40 stocks on S&P 500 equities, with a weekly holding period, presents only satisfactory results for certain types of investors.
publishDate 2020
dc.date.none.fl_str_mv 2020-10-20T15:28:16Z
2020-01-13
2020-01-03
2020-01-13T00:00:00Z
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/10362/105930
TID:202494543
url http://hdl.handle.net/10362/105930
identifier_str_mv TID:202494543
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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