Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market
Abstract
This study investigates the performance of the traditional return momentum strategy
and the residual momentum strategy on the Swedish market over the period 1990 to
2022. The residual momentum strategy show higher risk-adjusted return compared
to the traditional return momentum strategy in equally weighted portfolios, and the
opposite in value-weighted portfolios. A key finding is that the residual momentum
strategies experience notably lower volatility overall. In addition, we find the
momentum strategies to be size-dependent and perform significantly better in the
medium-sized companies. In the end, it is still difficult to say whether strategies like
this will generate positive return in real life since momentum investing is plagued by
high turnover, which implies high transaction costs.
Degree
Master 2-years
Other description
MSc in Finance
Collections
View/ Open
Date
2023-06-29Author
Bodin, Oscar
Börjeson, Pär
Series/Report no.
2023:205
Language
eng