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Comparative Analysis On Momentum Strategies And Contrarian Strategies In Quantitative Investment

Posted on:2017-09-30Degree:MasterType:Thesis
Country:ChinaCandidate:X MaFull Text:PDF
GTID:2359330566952909Subject:Mathematics
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In recent years,the study on momentum effect and reversal effect become a hot debate between traditional finance theory and behavior finance theory.The momentum strategies and contrarian strategies is the commonly used method in quantitative investment.So studying the influence different classification criteria on the performance of momentum strategies and contrarian strategies has important practical significance.At previous and contemporary studies of momentum strategies,using a fixed holding period momentum strategy.It is significant that investors can carry out momentum strategies at the right time.This paper mainly focuses on the following aspects:(1)Under the assumption that stock price obey Geometric Brownian motion,we derive some properties of the stochastic processes drawn from the technical analysis indicators.In order to acquire the suitable entries the market time,using SVM train and test extracted feature vector,implement the technical data pattern recognition and classification,and achieved good classification results.(2)An improved method is proposed by using reward risk ratios with the CVaR as a risk measure to the Jegadeesh and Titman method.In this paper,we study the effect of reward risk stock selection criteria on the performance of momentum strategy.A usual choice of reward-risk portfolio selection criterion is the ordinary Sharpe ratio corresponding to the static mean-variance framework.However,empirical evidence rejects the variance is not an adequate risk measure.Therefore,we introduce a classification criterion using the conditional value at risk as a measure risk which is entitled improved Sharpe ratio,recorded as Mean-CVaR.(3)In this study,we consider weekly returns all of stocks list on the Shanghai and Shenzhen 300 from January 4,2006 to July 13,2015.We analyze momentum strategies based on cumulative return,the Sharpe ratio and the Mean-CVaR selection criteria during the formation period of the momentum portfolios,and assess the performance of the momentum strategies according to different method from return risk framework.We show that,China's CSI 300 market momentum effect is not obvious,and there are some earnings reversal effect.No matter in momentum returns or significant,the methodology of Mean/CVaR is more robust than the other two methods.Compare the effect of these classification criteria on the performance of momentum strategies during the formation period.The improved Sharpe ratio criterion is more advantageous than those of Jegadeesh and Titman and the Sharpe ratio.The risk adjusted momentum strategy provides better risk adjusted return than the Jegadeesh and Titman methodology.Although it may provide profits of lower than those obtained using cumulative return criterion.
Keywords/Search Tags:momentum strategies, risk-adjusted return, performance evaluation
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