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Style-based investment strategies for currencies
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2017
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| _version_ | 1867613563296677888 |
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| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| collection | Thesis |
| dc_rights_str_mv | © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
| description | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/59882 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:38:07.678Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/59882 Style-based investment strategies for currencies Ward, Mike ichelp@gibs.co.za Blomeyer, Gregg UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. In this paper a graphical time-series approach was used to analyse style-based investment strategies for currencies. The styles investigated included momentum, volatility and value, and particular focus was given to understanding whether differences exist in the results between the currencies of developed versus emerging countries. The results showed that differences between emerging and developed currencies were statistically significant for each of the styles studied and that the classification of countries' currencies, as either developed or emerging, was therefore necessary in analyses. Momentum was confirmed to exist in currencies, with a reversion to the mean in the long-term; optimal returns were achieved with the least momentum (quintile five) currencies, using a 10-month look-back period (formation period), three-month look-to period and a two-month holding period. Volatility as a style started out as a particularly good trading strategy, but the results show that the style has been traded-out from around the time of the global financial crisis in 2007 to 2008. Returns from the value style have persisted, with the greatest returns achieved with those currencies most under-valued according to the Big Mac index. The relative strength of the base currency used in the analysis, in this case the U.S. dollar, was found to have a significant impact on the success of the various style-based investment strategies. ms2017 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2017-04-07T13:06:11Z 2017-04-07T13:06:11Z 2017-03-30 2017 Mini Dissertation Blomeyer, G 2017, Style-based investment strategies for currencies, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/59882> http://hdl.handle.net/2263/59882 en © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Style-based investment strategies for currencies |
| title | Style-based investment strategies for currencies |
| title_full | Style-based investment strategies for currencies |
| title_fullStr | Style-based investment strategies for currencies |
| title_full_unstemmed | Style-based investment strategies for currencies |
| title_short | Style-based investment strategies for currencies |
| title_sort | style based investment strategies for currencies |
| topic | UCTD |
| url | http://hdl.handle.net/2263/59882 |