Three essays in asset management

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.

Name dc:type.qualificationname

phd

Level dc:type.qualificationlevel

doctoral

Grantor dc:publisher.institution

City University London

Year dc:date.issued

2010

Author dc:creator

• Sapuric, S.

• HG Finance