  An
Analysis and Evalutaion of Investement Strategies
(2009) Efficient Markets Hypothesis has been recently more often challenged on base of the empirical evidence which was suggested not be consistent with the theory such as excess volatility, market seasonalities, autocorrelation and predictability of equity returns. There is still ongoing discussion on relevancy and interpretation of these phenomenons and its consequences in investment strategy. This work link empirical data gathered from equity markets to equity markets theory and investment strategy framework. Importance of the work lies in providing guidance to investors on capital allocation on equity markets. Utility of three investment strategies was evaluated in this work which were buy&hold (index), contrarian and momentum. Research is focused on research of mutual funds and custom portfolios in regard to their returns and investment strategy. In mutual funds research the funds were categorized on base of their investment strategy and performance parameters were evaluated to generalize which strategies provided the best results. In research of stock returns three portfolios were constructed and returns analyzed in search for mean reversion and autocorrelation patterrns. Using automation of some calculations provided by VBA programming language enabled processing of large data sets for more than 70 stock with daily trading data mostly back to 1990. Research output suggests superiority of buy&hold strategy which is linked to Effcient Market Hypothesis. Buy&hold was shown to produce best risk-adjusted returns. This apply to both mutual funds and stock portfolios returns. Some less common patterns were observed in stock portfolios and possible explanation suggested within Efficient Markets Hypothesis framework.
Introduction Critical Review of Literature Efficient Markets Hypothesis Seasonalities and Excess Volatility Behavioral Finance and New Views on Market Efficiency Technical Analysis Portfolio Theory and Risk Measure Investment Strategies Mutual funds Methodology and Data Collection Mutual Funds Investment Strategies Portfolios Returns and Mean Reversion Economic Background of the US Equity Market 1990 - 2008 Research Findings and Analysis Mutual Funds Investment Strategies Analyses of Funds with Distinctive Investment Strategies Portfolios Returns and Mean Reversion Conclusions and Recommendations Abbreviations Bibliography Appendices How To Order 1. Select reference number busman0057 from the dropdown list 2. Click the PayPal button 3. Click the "Click Here" button on the PayPal page to submit your credit/debit card payment 4. We will email your chosen dissertation in PDF format within 24 hours |
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