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|Title:||An algorithm for a dynamically reconstituting portfolio of U.S. equity mutual funds to outperform the S&P 500||Authors:||Anthony, Fernandes Victor||Keywords:||DRNTU::Business::Finance::Equity||Issue Date:||2011||Abstract:||Many studies have documented the presence of momentum in stocks as well as stock mutual funds, and despite such findings these anomalies still persist. Recent studies, however, have identified transaction and impact cost issues and scalability constraints posed by stock momentum strategies. In contrast, given the transactional framework within which they are traded, open-end stock mutual funds provide a far better platform to implement momentum-based strategies. Our empirical model is developed and tested on a sample comprising the entire openend stock mutual fund universe in the U.S. Unlike prior research, our approach proposes that past momentum is better defined by using more than one past period returns performance. The portfolio construction approach adopted is sensitive to the size of the fund being invested in and scalability of the strategy is also evaluated. The algorithm developed by our research delivers portfolio performance economically superior to the S&P 500 Index.||Description:||87 p.||URI:||http://hdl.handle.net/10356/47311||Rights:||Nanyang Technological University||Fulltext Permission:||restricted||Fulltext Availability:||With Fulltext|
|Appears in Collections:||NBS Theses|
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