Analysis of quantitative investment strategies - timing of volatility and momentum portfolios

Detalhes bibliográficos
Autor(a) principal: Ferencz, Jan Gregor
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/10362/148048
Resumo: Low volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short-sells low R&D past losers .In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis out performs all common benchmarks between 2001 and2020.
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spelling Analysis of quantitative investment strategies - timing of volatility and momentum portfoliosQuantitative investment strategyMomentumLow volatilityVolaitlity timingDomínio/Área Científica::Ciências Sociais::Economia e GestãoLow volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short-sells low R&D past losers .In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis out performs all common benchmarks between 2001 and2020.Hirschey, NicholasRUNFerencz, Jan Gregor2023-01-24T11:53:29Z2022-06-012022-05-202022-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/148048TID:203135911enginfo: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:RCAAP2024-03-11T05:29:24Zoai:run.unl.pt:10362/148048Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:53:10.513309Repositório 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 Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
title Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
spellingShingle Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
Ferencz, Jan Gregor
Quantitative investment strategy
Momentum
Low volatility
Volaitlity timing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
title_full Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
title_fullStr Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
title_full_unstemmed Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
title_sort Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
author Ferencz, Jan Gregor
author_facet Ferencz, Jan Gregor
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Ferencz, Jan Gregor
dc.subject.por.fl_str_mv Quantitative investment strategy
Momentum
Low volatility
Volaitlity timing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Quantitative investment strategy
Momentum
Low volatility
Volaitlity timing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Low volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short-sells low R&D past losers .In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis out performs all common benchmarks between 2001 and2020.
publishDate 2022
dc.date.none.fl_str_mv 2022-06-01
2022-05-20
2022-06-01T00:00:00Z
2023-01-24T11:53:29Z
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/10362/148048
TID:203135911
url http://hdl.handle.net/10362/148048
identifier_str_mv TID:203135911
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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