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Does the Active Country Momentum Portfolio Beat the Passive Market Portfolio? : an empirical study on exchange-traded funds

The thesis examines the strategy of country momentum and is evaluated with 30 different country exchange-traded funds (ETFs) for the period 1996-2018. The empirical evaluation is designed to apply different formation- and holding periods with overlapping portfolios. The results show positive momentum returns in various periods and a few portfolios present a higher average return than the market. However, none of the portfolios is presenting any significant positive returns or alphas, meaning that the three hypotheses cannot be rejected. On the other hand, some portfolios have higher Sharpe ratios and Morningstar value than the market. Thus, meaning that the individual investor could prefer the momentum portfolio over the market despite the insignificant returns.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:oru-89230
Date January 2021
CreatorsEricsson, Anton, Erickson, Anton
PublisherÖrebro universitet, Handelshögskolan vid Örebro Universitet, Örebro universitet, Handelshögskolan vid Örebro Universitet
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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