dc.contributor.author | Yusuf, Nasir Mohamud | |
dc.contributor.author | Samir, Havin | |
dc.date.accessioned | 2021-09-28T10:21:11Z | |
dc.date.available | 2021-09-28T10:21:11Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Yusuf, N.M. & Samir, H. (2021) Using Primary and Secondary Market Movements to Construct an Optimal Time-Series Momentum Strategy : A Replication Study (Master's thesis). University of Agder, Kristiansand. | en_US |
dc.identifier.uri | https://hdl.handle.net/11250/2784054 | |
dc.description | Master's thesis in Business administration (BE501) | en_US |
dc.description.abstract | Time series momentum (TSM) strategies is a topic that has been analyzed in numerous academic journals; often the results of the studies imply that TSM outperforms the benchmark (buy-and-hold strategy). Nevertheless, most of the research covers primary trends as proposed by the Dow Theory. We implement a new TSM strategy that in addition to the primary trends, also considers the secondary trends in the Dow Theory. This TSM strategy is then applied to various look-back periods(speed), including predetermined static speeds, and dynamic speeds. The latter in which we use back-testing to find optimal speeds for different market states (bull, bear, correction, and rebound), and implement the speeds in subsequent periods with forward-testing. The TSM strategies are applied on international market indices, and the Sharpe ratio for each strategy reveals that the dynamic speed strategies dominate in terms of performance. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | University of Agder | en_US |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | BE501 | en_US |
dc.title | Using Primary and Secondary Market Movements to Construct an Optimal Time-Series Momentum Strategy : A Replication Study | en_US |
dc.type | Master thesis | en_US |
dc.rights.holder | © 2021 Nasir Mohamud Yusuf, Havin Samir | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | en_US |
dc.source.pagenumber | 61 | en_US |