The merits of factors as potential core elements for portfolio construction
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Title
The merits of factors as potential core elements for portfolio constructionAuthor (s)
Tutor/Supervisor; University.Department
Alemany Palomo, NuriaDate
2021Publisher
Universitat Jaume IAbstract
In the present work, the German DAX30 equity market is used, in the period 2017-2020 to try to demonstrate that a portfolio based on momentum factors, low volatility and a combination of both is capable of beating the ... [+]
In the present work, the German DAX30 equity market is used, in the period 2017-2020 to try to demonstrate that a portfolio based on momentum factors, low volatility and a combination of both is capable of beating the benchmark index or passive strategies. Despite not being such a recent element, it has been gaining popularity in recent times, although in Europe it is still less present than in the United States. In addition, we analyse its performance in the recent crisis caused by Covid-19, what results it has had and if it confirms our hypothesis that, in the end, factors are winner strategies. [-]
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Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2020-2021
Type
info:eu-repo/semantics/bachelorThesisRights
info:eu-repo/semantics/openAccess