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HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège
MASTER THESIS
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Flexible Momentum: Combining Evolutive Factor Framework To A Dual Momentum Strategy

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Foucart, Lucas ULiège
Promotor(s) : Hübner, Georges ULiège
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink : http://hdl.handle.net/2268.2/18740
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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 ULiège
Date of defense  : 4-Sep-2023/8-Sep-2023
Advisor(s) : Hübner, Georges ULiège
Committee's member(s) : Piron, Thibault ULiège
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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  • Foucart, Lucas ULiège Université de Liège > Master sc. gest., à fin.

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