Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?

This article proposes investment strategies targeted at unsophisticated investors and structured around persistence in returns, especially in the short and medium term (“momentum effect”). Sixty-four equally weighted portfolios were formed, through the variation of five different parameters: size, r...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Fabio Civiletti, Carlos Heitor Campani, Raphael Roquete
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2020
Materias:	momentum effect equally weighted portfolios unsophisticated investor stock Business HF5001-6182
Acceso en línea:	https://doaj.org/article/63fc7b7aae164ad6b877bb9abc59056a
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:63fc7b7aae164ad6b877bb9abc59056a
record_format	dspace
spelling	oai:doaj.org-article:63fc7b7aae164ad6b877bb9abc59056a2021-11-11T15:48:08ZEqually weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?1807-734X10.15728/bbr.2020.17.5.2https://doaj.org/article/63fc7b7aae164ad6b877bb9abc59056a2020-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123064464002https://doaj.org/toc/1807-734XThis article proposes investment strategies targeted at unsophisticated investors and structured around persistence in returns, especially in the short and medium term (“momentum effect”). Sixty-four equally weighted portfolios were formed, through the variation of five different parameters: size, revision frequency, asset selection indicator, choice criterion, and formation period. The proposed portfolios’ performances were assessed from January 2009 to December 2018 and compared to the performance of BOVA11 (Exchange Traded Fund which aims to replicate Ibovespa, the main stock market index in Brazil). Transaction costs were considered. The results corroborate the hypothesis of the “momentum effect”. Winner portfolios also were indicated asgood alternatives as investment strategies, since they presented higher median returns and Sharpe ratios than the benchmark, as well as positive alphas. Additional tests showed that transaction costs can significantly impact the portfolios’ performances. The analysis presented in this paper shall be relevant to unsophisticated investors, introducing a competitive though easy-to-implement investment strategy.Fabio CivilettiCarlos Heitor CampaniRaphael RoqueteFUCAPE Business Schoolarticlemomentum effectequally weighted portfoliosunsophisticated investorstockBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 17, Iss 5, Pp 506-522 (2020)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	momentum effect equally weighted portfolios unsophisticated investor stock Business HF5001-6182
spellingShingle	momentum effect equally weighted portfolios unsophisticated investor stock Business HF5001-6182 Fabio Civiletti Carlos Heitor Campani Raphael Roquete Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
description	This article proposes investment strategies targeted at unsophisticated investors and structured around persistence in returns, especially in the short and medium term (“momentum effect”). Sixty-four equally weighted portfolios were formed, through the variation of five different parameters: size, revision frequency, asset selection indicator, choice criterion, and formation period. The proposed portfolios’ performances were assessed from January 2009 to December 2018 and compared to the performance of BOVA11 (Exchange Traded Fund which aims to replicate Ibovespa, the main stock market index in Brazil). Transaction costs were considered. The results corroborate the hypothesis of the “momentum effect”. Winner portfolios also were indicated asgood alternatives as investment strategies, since they presented higher median returns and Sharpe ratios than the benchmark, as well as positive alphas. Additional tests showed that transaction costs can significantly impact the portfolios’ performances. The analysis presented in this paper shall be relevant to unsophisticated investors, introducing a competitive though easy-to-implement investment strategy.
format	article
author	Fabio Civiletti Carlos Heitor Campani Raphael Roquete
author_facet	Fabio Civiletti Carlos Heitor Campani Raphael Roquete
author_sort	Fabio Civiletti
title	Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
title_short	Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
title_full	Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
title_fullStr	Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
title_full_unstemmed	Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
title_sort	equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
publisher	FUCAPE Business School
publishDate	2020
url	https://doaj.org/article/63fc7b7aae164ad6b877bb9abc59056a
work_keys_str_mv	AT fabiociviletti equallyweightedportfoliosandmomentumeffectaninterestingcombinationforunsophisticatedinvestors AT carlosheitorcampani equallyweightedportfoliosandmomentumeffectaninterestingcombinationforunsophisticatedinvestors AT raphaelroquete equallyweightedportfoliosandmomentumeffectaninterestingcombinationforunsophisticatedinvestors
_version_	1718433891870572544

Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?

Ejemplares similares