On front-running momentum and portfolio optimization

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorSegeritz, John Ren_ZA
dc.date.accessioned2017-09-06T07:09:42Z
dc.date.available2017-09-06T07:09:42Z
dc.date.issued2017en_ZA
dc.description.abstractMost 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.identifier.apacitationSegeritz, 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/11427/25078en_ZA
dc.identifier.chicagocitationSegeritz, 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/11427/25078en_ZA
dc.identifier.citationSegeritz, J. 2017. On front-running momentum and portfolio optimization. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/25078
dc.identifier.vancouvercitationSegeritz 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/11427/25078en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinanceen_ZA
dc.titleOn front-running momentum and portfolio optimizationen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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