A carregar...
Publicação
Systematic investing: momentum and volatility as indicator for market timing
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.74 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
In Financial Markets, academic questions revolve around the assumption that asset prices
reflect all available information and exhibit a random walk. Direct implications of this
hypotheses are that no market participant can consistently earn excess returns on a risk-adjusted
basis, except by luck or by using non-public information. This thesis examines whether the
assumption that historical data cannot be enough to consistently outperform the market holds.
Based on the evidence that asset returns are negatively skewed with few fat-tails, the systematic
multi-asset strategy presented in this thesis more than triples the risk-reward compared to the
traditional 60/40 portfolio by incorporating trend-following and market risk assessments.
Descrição
Palavras-chave
Financial Markets Asset management Portfolio allocation and performance analysis Mutual funds and etfs