Publication
Field lab: analysis of quantitative investment strategies constructing a multi-factor investment strategy optimized sector momentum
| Summary: | In the combined part a multi-factor investment strategy is constructed out of four different enhanced single factor strategies using an optimization to maximize the Sharpe ratio of the combined portfolio. In the individual part an optimized sector momentum strategy is constructed that consists of a combination of a long and a market-neutral long/short strategy utilizing a simple regime-switching process with the goal to minimize momentum crashes and achieve robust returns in all market states. |
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| Main Authors: | Beckonert, Lars |
| Subject: | Quantitative investments Financial markets Factor investing Sector momentum Market neutral Regime switching |
| Year: | 2023 |
| Country: | Portugal |
| Document type: | master thesis |
| Access type: | open access |
| Associated institution: | Universidade Nova de Lisboa |
| Language: | English |
| Origin: | Repositório Institucional da UNL |
| Summary: | In the combined part a multi-factor investment strategy is constructed out of four different enhanced single factor strategies using an optimization to maximize the Sharpe ratio of the combined portfolio. In the individual part an optimized sector momentum strategy is constructed that consists of a combination of a long and a market-neutral long/short strategy utilizing a simple regime-switching process with the goal to minimize momentum crashes and achieve robust returns in all market states. |
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