Chasing the Winners: Investigating the Performance of Momentum Strategies

Momentum strategies are receiving increasing attention in the field of finance due to their potential to generate superior returns. Momentum investing is based on the premise that assets that have exhibited strong performance in the recent past are likely to continue to perform well in the near future. This thesis explores the different momentum strategies in diverse markets and asset classes, such as the US equity market utilizing industry portfolios, multi-asset funds, and developed countries. Our study involves a comprehensive analysis of various momentum strategies, including relative momentum and absolute momentum, as well as more recently extended strategies such as dual and triple mo…