Anjos, FernandoFornaciari, Tommaso Elio2017-12-052017-12-052017-01-20http://hdl.handle.net/10362/26194The analysis brings forward a novel empirical model that accounts for upside-downside beta and introduces VIX as a measure of market volatility with the intention of improving the flaws of momentum strategies through a different stock selection process. The study focuses on the constituents of the S&P500 in the period 1985-2016. The study reveals that this strategy displays low volatility and other relative advantages in comparison to the market and to the classical price momentum; however it is significantly not profitable. The unprofitability of the latter is a stimulus to investigate a related stock selection based only on the excess returns generated by the individual assets prior to the investment period.engMomentumUpside betaDownside betaVolatilitymaster thesis201716585