Publicação
Analysis of quantitative investments strategies
| Resumo: | This project aims to successfully merge two standalone strategies, a volatility-managed crypto momentum strategy and an equity pair trading strategy, into the most efficient portfolio. Several allocation methods are applied and tested across in-sample (2018–2021) and out-of-sample (2022–2024) periods. While the tangency portfolio performs well in-sample, it shows signs of overfitting out-of-sample. The equal weighted portfolio, despite its simplicity, delivers the best out-of-sample results, highlighting the value of balanced exposure and the limitations of optimization when market conditions change. |
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| Autores principais: | Abondio, Francesco |
| Assunto: | Finance Financial markets Quantitative investment Momentum Volatility management Cryptocurrency market Risk management Performance analysis Market dynamics Portfolio construction Diversification Pair trading Statistical arbitrage Sector based filtering Equity markets Time series analysis Predictability Regression analysis Long short strategy Data-driven investment |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso embargado |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This project aims to successfully merge two standalone strategies, a volatility-managed crypto momentum strategy and an equity pair trading strategy, into the most efficient portfolio. Several allocation methods are applied and tested across in-sample (2018–2021) and out-of-sample (2022–2024) periods. While the tangency portfolio performs well in-sample, it shows signs of overfitting out-of-sample. The equal weighted portfolio, despite its simplicity, delivers the best out-of-sample results, highlighting the value of balanced exposure and the limitations of optimization when market conditions change. |
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