Active and Passive Momentum Strategies on Nordic Financial Market

Andrii Frytsiuk

Student thesis: Master thesis

Abstract

The aim of this thesis was to backtest some of the approaches to capturing and investing in momentum in Nordic financial market. Data for more than one hundred Nordic stocks from Jan 2012 to Jul 2019 was used. Due to increase popularity of algorithmic trading, all the backtesting strategies were developed in Matlab. The first strategy was investing in 10 “winners” on an equal-weighted basis based on historical returns. Alternative strategy used mean-variance optimization problem with optimal weights to be used for holding period. Historical and holding periods of 3, 6, 9 and 12 months were applied for both strategies. Equal-weighted strategy ended to be more profitable and efficient. 9 by 3 strategy was the most profitable (mean annual return of 52.3%), while 6 by 12 was the most efficient (Shape of 1.19). Active strategies were based on MACD and Chaikin indicators. Both of them were less efficient than passive management strategies. MACD strategy based on half-month and one-month holding periods was superior to Chaikin in terms of return and efficiency.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
LanguageEnglish
Publication date2019
Number of pages68