Value and momentum recently: analysis of quantitative investment strategy
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/10362/154325 |
Resumo: | Both momentum and value strategies earn consistent and significant premia and are negatively correlated, with their equal weight combination improving the risk-return trade-off. This paper shows that allocation based on market volatility further improves the risk-return trade-off, particularly by limiting the large drawdowns momentum experiences in market crashes, where value tends to perform better. Both long-short strategy legs achieve comparably low Sharpe ratios in the past 20 years. There is no clear picture of high momentum stocks performing better than their low momentum counterparts, similar for value, which seems to off-set the long-short returns, while the long legs perform comparably well. The group report tests the combination of five different sub strategies, resembling the performance of a multi-strategy hedge fund benchmarked against the popular buy-and-hold S&P 500 investing approach. The sub-strategies are: residual momentum, value including intangibles, value and momentum, volatility forecasting, and a long short-term memory strategy, the latter two being machine-learning-based, and all investing in the U.S. universe. The combined strategy’s performance is analyzed by three weighting schemes: equal-weight, momentum, and mean variance, resulting in a gamut of robustness and performance. The combined strategies reap diversification benefits, thereby giving investors a superior risk-reward trade-off compared to the buy-and hold S&P 500 approach |
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Value and momentum recently: analysis of quantitative investment strategySystematic trading strategyMomentumValueVolatilityUnited StatesPythonQuantitative trading strategyDomínio/Área Científica::Ciências Sociais::Economia e GestãoBoth momentum and value strategies earn consistent and significant premia and are negatively correlated, with their equal weight combination improving the risk-return trade-off. This paper shows that allocation based on market volatility further improves the risk-return trade-off, particularly by limiting the large drawdowns momentum experiences in market crashes, where value tends to perform better. Both long-short strategy legs achieve comparably low Sharpe ratios in the past 20 years. There is no clear picture of high momentum stocks performing better than their low momentum counterparts, similar for value, which seems to off-set the long-short returns, while the long legs perform comparably well. The group report tests the combination of five different sub strategies, resembling the performance of a multi-strategy hedge fund benchmarked against the popular buy-and-hold S&P 500 investing approach. The sub-strategies are: residual momentum, value including intangibles, value and momentum, volatility forecasting, and a long short-term memory strategy, the latter two being machine-learning-based, and all investing in the U.S. universe. The combined strategy’s performance is analyzed by three weighting schemes: equal-weight, momentum, and mean variance, resulting in a gamut of robustness and performance. The combined strategies reap diversification benefits, thereby giving investors a superior risk-reward trade-off compared to the buy-and hold S&P 500 approachHirschey, Nicholas H.RUNScherzler, Fynn2023-06-23T15:41:52Z2023-01-102022-12-162023-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/154325TID:203311663enginfo: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:RCAAP2024-03-11T05:36:48Zoai:run.unl.pt:10362/154325Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:55:35.394281Repositório 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 |
Value and momentum recently: analysis of quantitative investment strategy |
title |
Value and momentum recently: analysis of quantitative investment strategy |
spellingShingle |
Value and momentum recently: analysis of quantitative investment strategy Scherzler, Fynn Systematic trading strategy Momentum Value Volatility United States Python Quantitative trading strategy Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Value and momentum recently: analysis of quantitative investment strategy |
title_full |
Value and momentum recently: analysis of quantitative investment strategy |
title_fullStr |
Value and momentum recently: analysis of quantitative investment strategy |
title_full_unstemmed |
Value and momentum recently: analysis of quantitative investment strategy |
title_sort |
Value and momentum recently: analysis of quantitative investment strategy |
author |
Scherzler, Fynn |
author_facet |
Scherzler, Fynn |
author_role |
author |
dc.contributor.none.fl_str_mv |
Hirschey, Nicholas H. RUN |
dc.contributor.author.fl_str_mv |
Scherzler, Fynn |
dc.subject.por.fl_str_mv |
Systematic trading strategy Momentum Value Volatility United States Python Quantitative trading strategy Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Systematic trading strategy Momentum Value Volatility United States Python Quantitative trading strategy Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Both momentum and value strategies earn consistent and significant premia and are negatively correlated, with their equal weight combination improving the risk-return trade-off. This paper shows that allocation based on market volatility further improves the risk-return trade-off, particularly by limiting the large drawdowns momentum experiences in market crashes, where value tends to perform better. Both long-short strategy legs achieve comparably low Sharpe ratios in the past 20 years. There is no clear picture of high momentum stocks performing better than their low momentum counterparts, similar for value, which seems to off-set the long-short returns, while the long legs perform comparably well. The group report tests the combination of five different sub strategies, resembling the performance of a multi-strategy hedge fund benchmarked against the popular buy-and-hold S&P 500 investing approach. The sub-strategies are: residual momentum, value including intangibles, value and momentum, volatility forecasting, and a long short-term memory strategy, the latter two being machine-learning-based, and all investing in the U.S. universe. The combined strategy’s performance is analyzed by three weighting schemes: equal-weight, momentum, and mean variance, resulting in a gamut of robustness and performance. The combined strategies reap diversification benefits, thereby giving investors a superior risk-reward trade-off compared to the buy-and hold S&P 500 approach |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-12-16 2023-06-23T15:41:52Z 2023-01-10 2023-01-10T00:00:00Z |
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/10362/154325 TID:203311663 |
url |
http://hdl.handle.net/10362/154325 |
identifier_str_mv |
TID:203311663 |
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 |
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RCAAP |
institution |
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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1799138142866898944 |