Multi-asset factor momentum
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School of Business |
Master's thesis
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Authors
Date
2024
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
71
Series
Abstract
Factors across multiple asset classes demonstrate momentum, with an average factor generating a monthly return of 11 basis points after a year of non-positive returns and 37 basis points following a year of positive returns. Nevertheless, a strategy focused on trading the factor momentum in the multi-asset space appears to be primarily harvesting the well-documented premium of the time series momentum factor.Description
Thesis advisor
Suominen, MattiKeywords
factor momentum, factor timing, factor investing, time series momentum, cross-sectional momentum