Essays about: "Residual Momentum"

Found 3 essays containing the words Residual Momentum.

  1. 1. Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market

    University essay from Göteborgs universitet/Graduate School

    Author : Oscar Bodin; Pär Börjeson; [2023-06-29]
    Keywords : ;

    Abstract : This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. READ MORE

  3. 2. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Erik Huss; Mario Ishak; [2022]
    Keywords : Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

    Abstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE

  4. 3. Touschek- and Gas Scattering Lifetime Investigations in the MAX IV 3 GeV Storage Ring

    University essay from Lunds universitet/Fysiska institutionen; Lunds universitet/MAX IV-laboratoriet

    Author : Jens Sundberg; [2017]
    Keywords : Lifetime; Scraper; Scattering; MAX IV; Touschek; Storage Ring; Synchrotron; Physics and Astronomy;

    Abstract : The MAX IV 3 GeV storage ring is a fourth-generation electron synchrotron. At the time of writing in May 2017, it is the lowest emittance light source in the world. To study its performance is of foremost importance for the MAX IV Laboratory, its users and for upcoming synchrotrons. READ MORE