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Optimal concentration for value and momentum portfolios
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| 1.19 MB | Adobe PDF | |||
| 518.25 KB | Adobe PDF |
Orientador(es)
Resumo(s)
This paper aims to verify the persistence of the profitability of the Momentum strategy, first
implemented by Richard Driehaus in the 1980’s. Furthermore, the paper will test the impact
of changing several parameters of the strategy on its profitability. A combination of the
Momentum strategy with a Value-oriented one will also be analyzed, with a view to assess
the outperformance of this aggregate portfolio. The results are in line with Jedadeesh and
Titman (2001), there is still evidence for its profitability in recent years, except in times of
severe volatility. Additionally, there is an improvement in combining the two strategies.
Descrição
Palavras-chave
Momentum Value Investment Strategies