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Volatility timing and momentum: synergy of the two strategies in the United Kingdom market
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| 1.68 MB | Adobe PDF |
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This study shows that the static low-volatility strategy can be improved by using the volatility based timing strategy. The momentum strategy, which consists of buying securities in the winner
quintile and selling securities in the loser quintile each month, was combined with the volatility based timing strategy. The results show that a combined portfolio can generate better results
regarding Sharpe Ratio statistics. The research was undertaken within the United Kingdom
(1991/01 until 2022/12). In the group part, diverse strategies were combined to form three
portfolios: Equal-Weighted, Tangency and Global Minimum Variance to provide valuable
insights for investors seeking to optimize their portfolios.
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Financial markets Quantitative investment strategies Volatility timing Momentum United Kingdom Portfolio optimization