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On front-running momentum and portfolio optimization
Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded mo...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2017
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| _version_ | 1867613827976134656 |
|---|---|
| access_status_str | Open Access |
| author | Segeritz, John R |
| author2 | Van Rensburg, Paul |
| author_browse | Segeritz, John R Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Segeritz, John R |
| author_sort | Segeritz, John R |
| collection | Thesis |
| description | Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded month-end approach. In particular, this paper is interested in analyzing the legal front-running of month-end momentum strategies by one to five weeks. Furthermore this study analyzes how momentum profits change by using different start dates within a month ("week-effect") as well as within a year ("month-effect") and finds that the second-last week of the month as well as the cluster of months September, October and November exhibit higher Sharpe ratios, more favorable levels of skewness and better protection against downside risk. In addition, this study demonstrates evidence that momentum investing using the widespread "monthend" view is rarely a strictly dominant strategy. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/25078 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:42:20.706Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/25078 On front-running momentum and portfolio optimization Segeritz, John R Van Rensburg, Paul Finance Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded month-end approach. In particular, this paper is interested in analyzing the legal front-running of month-end momentum strategies by one to five weeks. Furthermore this study analyzes how momentum profits change by using different start dates within a month ("week-effect") as well as within a year ("month-effect") and finds that the second-last week of the month as well as the cluster of months September, October and November exhibit higher Sharpe ratios, more favorable levels of skewness and better protection against downside risk. In addition, this study demonstrates evidence that momentum investing using the widespread "monthend" view is rarely a strictly dominant strategy. 2017-09-06T07:09:42Z 2017-09-06T07:09:42Z 2017 Master Thesis Masters MCom http://hdl.handle.net/11427/25078 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance Segeritz, John R On front-running momentum and portfolio optimization |
| thesis_degree_str | Master's |
| title | On front-running momentum and portfolio optimization |
| title_full | On front-running momentum and portfolio optimization |
| title_fullStr | On front-running momentum and portfolio optimization |
| title_full_unstemmed | On front-running momentum and portfolio optimization |
| title_short | On front-running momentum and portfolio optimization |
| title_sort | on front running momentum and portfolio optimization |
| topic | Finance |
| url | http://hdl.handle.net/11427/25078 |
| work_keys_str_mv | AT segeritzjohnr onfrontrunningmomentumandportfoliooptimization |