Avoiding crashes: Exploring risk-managed Momentum strategies
(2021) BUSN79 20211Department of Business Administration
- Abstract
- The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. This makes momentum less attractive for risk-averse investors and motivates an appropriate risk management. Previous literature introduced different approaches to manage the risk of this otherwise very profitable strategy. Therefore, this thesis studies and compares different risk-managed momentum strategies in terms of performance throughout all relevant crises of the past century.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9061008
- author
- Sunner, Jasmin LU and Seppi, Marc LU
- supervisor
- organization
- course
- BUSN79 20211
- year
- 2021
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- momentum, risk-managed Momentum strategies, momentum crashes
- language
- English
- id
- 9061008
- date added to LUP
- 2021-09-22 16:10:48
- date last changed
- 2021-09-22 16:10:48
@misc{9061008, abstract = {{The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. This makes momentum less attractive for risk-averse investors and motivates an appropriate risk management. Previous literature introduced different approaches to manage the risk of this otherwise very profitable strategy. Therefore, this thesis studies and compares different risk-managed momentum strategies in terms of performance throughout all relevant crises of the past century.}}, author = {{Sunner, Jasmin and Seppi, Marc}}, language = {{eng}}, note = {{Student Paper}}, title = {{Avoiding crashes: Exploring risk-managed Momentum strategies}}, year = {{2021}}, }