Momentum Strategies

This thesis investigates price momentum of sector and region indices on the MSCI basis from January 1985 for sectors and January 1970 for re-gions to January 2008 relative to the MSCI World benchmark. It is shown that return continuation can be found for winner indices whereas loser indices exhibit a return reversal. Winner indices systematically outperform loser indices. The evaluated momentum strategies generate abnormal profits in the overall sample but also in different market environments. Re- turns are correlated with the market environment. A diversified index port-folio does not achieve a better risk-adjusted performance than a single index investment. In the CAPM and Fama-French framework, these mo-mentum profits can not be explained a statistically significant positive alpha remains. Macroeconomic lagged factors can partly explain momen-tum profits but remain undetermined.

Autorentext

Daniel Rotzer was born in 1982 in the southern part of Switzerland. After studies at the university of St.Gallen, Lausanne and Bangkok with a Master's degree in Banking and Finance he started in the strategy research department of the Bank Julius Baer in Zurich. He now works for the fixed income research team in the investment grade area.