Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
Autor(a) principal: | |
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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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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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