Essays about: "Momentum Investment strategy"

Showing result 1 - 5 of 35 essays containing the words Momentum Investment strategy.

1. 1. Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Alex Holm; Ellioth Tilly; Thomas Eklind; [2023-09-01]
   Keywords : Momentum strategies; Volatility; Excess return; Jensen s Alpha; Covid -19. 1;

   Abstract : The momentum strategy is a widely recognized investment approach that aims to generate abnormal returns by buying past winners and selling past losers. The purpose of this thesis is to investigate if the momentum strategy is applicable at Swedish industries and see if there are any differences between a longer and shorter holding and ranking period. READ MORE

3. 2. The Impact of ESG-Scores on Portfolio Performance - A quantitative study on sustainable investments.

   University essay from Göteborgs universitet/Graduate School

   Author : Max Ehrnström; Yacob Nehmé; [2023-06-29]
   Keywords : ESG investing; Abnormal returns; Sustainable investing and Financial performance;

   Abstract : This report examines the relationship between ESG-scores and portfolio returns using the Fama-French five-factor and Carhart four-factor models. The data is collected from Refinitiv (2023) between 2003 and 2021 and consists of firms listed on the NYSE and NASDAQ stock exchange. READ MORE

4. 3. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Axel Dillner; Johanna Roos; [2023]
   Keywords : Momentum; Price Momentum; Earnings Momentum; Earnings Surprises; Standardized Earnings Surprise; SES;

   Abstract : This thesis investigates the relationship between price momentum, earnings momentum, and stock returns in the Nordic region by examining the risk-adjusted performance measures of various momentum strategy portfolios. Inspired by Novy-Marx's 2015 theory that momentum in firm fundamentals explains the performance of price momentum strategies, this study seeks to provide deeper insights into momentum drivers and their implications for investment professionals. READ MORE

5. 4. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

   University essay from Uppsala universitet/Datalogi

   Author : Rebecca Fällström; [2023]
   Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

   Abstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE

6. 5. Quantitative Investment Strategies on the Swedish Stock Market

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Jonatan Knutsson; Gabija Telešova; [2023]
   Keywords : Quantitative investment strategies; Quantitative trading strategies; Dividend yield strategy; EV EBITDA strategy; Momentum strategy; Equal-weighted portfolios; Value-weighted portfolios; Swedish stock market.;

   Abstract : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. READ MORE