Systematic investing: momentum and volatility as indicator for market timing

• Autor(a) principal: Keller, Denis
• 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/10362/154314
• topic: Financial Markets; Asset management; Portfolio allocation and performance analysis; Mutual funds and etfs; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

In Financial Markets, academic questions revolve around the assumption that asset prices reflect all available information and exhibit a random walk. Direct implications of this hypotheses are that no market participant can consistently earn excess returns on a risk-adjusted basis, except by luck or by using non-public information. This thesis examines whether the assumption that historical data cannot be enough to consistently outperform the market holds. Based on the evidence that asset returns are negatively skewed with few fat-tails, the systematic multi-asset strategy presented in this thesis more than triples the risk-reward compared to the traditional 60/40 portfolio by incorporating trend-following and market risk assessments.