Three essays in asset management

by Sapuric, Svetlana

Type Thesis
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The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are abl…

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Summary

The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

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Edition Statements

  • Publication Date:2010

Thesis Information

  • Degree:Ph.D.
  • University:City University London

Publication Statements

  • Language:eng
  • Publication Date:2010

Edition Identifiers

  • ethos:509118

Subjects

eng HG Finance PDF

Writers

Sapuric, Svetlana

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