Master Thesis Online
Flexible Momentum: Combining Evolutive Factor Framework To A Dual Momentum Strategy
Foucart, Lucas 
Promotor(s) :
Hübner, Georges
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink : http://hdl.handle.net/2268.2/18740
Details
| Title : | Flexible Momentum: Combining Evolutive Factor Framework To A Dual Momentum Strategy |
| Translated title : | [fr] Momentum flexible: Combinaison entre une structure évolutive de facteurs avec une stratégie momentum double |
| Author : | Foucart, Lucas
|
| Date of defense : | 4-Sep-2023/8-Sep-2023 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Piron, Thibault
|
| Language : | English |
| Number of pages : | 79 |
| Keywords : | [en] Dual momentum [en] Formation Period [en] Holding Period [en] Lag Period [en] Winner Portfolio [en] Loser Portfolio [en] Cross-sectional Momentum [en] Trend Following |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This master thesis reviews momentum models proposed by the literature in the past 30 years and describes the minimal attention given to the construction of their strategy to adapt at best the explanatory power of their model to perceive the momentum anomaly. This study covers the
benefits of using an extended range of factors and applying a dynamic aspect to the construction
and the rebalancing of a momentum strategy. This study replicates the dual momentum proposed
by Clare et al. (2016) and applies the flexible framework. This work brings more evidence of the
risk-adjusted performance from dual momentum. Moreover, the enhanced model provides stronger returns with lower monthly trades required to maintain the strategy compared to traditional or dual momentum. These superior results are obtained to the detriment of an inferior risk-adjusted performance compared to the initial model.
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