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Analysis of quantitative investment strategies - timing of volatility and momentum portfolios
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 1.36 MB | Adobe PDF |
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Low volatility and R&D to market equity based investment strategies can yield abnormal returns on the US equity market. In the first place we are improving the low volatility strategy by using a volatility timing signal, that invests in past winner stocks when the market outlook is bullish. Secondly, the long only R&D portfolio can be improved by making it a zero-investment strategy, that short-sells low R&D past losers .In the last part wes how that a combined risk-parity portfolio, that rebalances the two investment strategies on a monthly basis out performs all common benchmarks between 2001 and2020.
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Quantitative investment strategy Momentum Low volatility Volaitlity timing