On front-running momentum and portfolio optimization

 

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dc.contributor.advisor Van Rensburg, Paul en_ZA
dc.contributor.author Segeritz, John R en_ZA
dc.date.accessioned 2017-09-06T07:09:42Z
dc.date.available 2017-09-06T07:09:42Z
dc.date.issued 2017 en_ZA
dc.identifier.citation Segeritz, J. 2017. On front-running momentum and portfolio optimization. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/25078
dc.description.abstract Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded month-end approach. In particular, this paper is interested in analyzing the legal front-running of month-end momentum strategies by one to five weeks. Furthermore this study analyzes how momentum profits change by using different start dates within a month ("week-effect") as well as within a year ("month-effect") and finds that the second-last week of the month as well as the cluster of months September, October and November exhibit higher Sharpe ratios, more favorable levels of skewness and better protection against downside risk. In addition, this study demonstrates evidence that momentum investing using the widespread "monthend" view is rarely a strictly dominant strategy. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Finance en_ZA
dc.title On front-running momentum and portfolio optimization en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Segeritz, J. R. (2017). <i>On front-running momentum and portfolio optimization</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/25078 en_ZA
dc.identifier.chicagocitation Segeritz, John R. <i>"On front-running momentum and portfolio optimization."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2017. http://hdl.handle.net/11427/25078 en_ZA
dc.identifier.vancouvercitation Segeritz JR. On front-running momentum and portfolio optimization. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/25078 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Segeritz, John R AB - Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded month-end approach. In particular, this paper is interested in analyzing the legal front-running of month-end momentum strategies by one to five weeks. Furthermore this study analyzes how momentum profits change by using different start dates within a month ("week-effect") as well as within a year ("month-effect") and finds that the second-last week of the month as well as the cluster of months September, October and November exhibit higher Sharpe ratios, more favorable levels of skewness and better protection against downside risk. In addition, this study demonstrates evidence that momentum investing using the widespread "monthend" view is rarely a strictly dominant strategy. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - On front-running momentum and portfolio optimization TI - On front-running momentum and portfolio optimization UR - http://hdl.handle.net/11427/25078 ER - en_ZA


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