Essays about: "Alan Dari Lindahl"
Found 1 essay containing the words Alan Dari Lindahl.
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1. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons
University essay from Göteborgs universitet/Graduate SchoolAbstract : Although being one of the most robust anomalies ever discovered, the momentum factor occasionally suffer big losses during market recessions periods. We apply and compare different factor models, and find that when sorting the momentum factor on prior 2-6 months it earns a higher average monthly return compared to the common sorting on prior 2-12 months. READ MORE
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