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Trendföljande Investeringsstrategier: En systematisk tillämpning av trendföljande strategier applicerat på indexterminer
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2013 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper examines the performance of trend following investment strategies across five index futures contracts using moving average strategies. The paper will test the weak form of EMH by analyzing historical price data. We find that all the portfolios yield a positive excess return over the last decade regardless of measure. These portfolios have a very low correlation to the underlying stock markets and have historically provided a good diversification in bear markets. The results in this paper indicates that it is a good strategy to buy high and sell higher or sell low and buy it back lower.

Place, publisher, year, edition, pages
2013.
Keyword [en]
Efficient market hypothesis, random walk theory, trend following, momentum strategy, moving average, technical analysis, investment strategy, index futures
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-197863OAI: oai:DiVA.org:uu-197863DiVA: diva2:614530
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2013-04-05 Created: 2013-04-05 Last updated: 2013-04-05Bibliographically approved

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CiteExportLink to record
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