Work detail

Momentum trading strategy performance before, during, and after the COVID-19 crisis

Author: Bc. Dávid Řeřicha
Year: 2022 - summer
Leaders: Mgr. Nicolas Fanta
Work type: Bachelors
Language: English
Pages: 55
Awards and prizes:
Abstract: This thesis investigates the well-known momentum trading strategy from January 2013 to May
2022 on the US stock market. The goal of this thesis is to examine whether the phenomenal
momentum anomalies occurred during COVID-19 crisis. The main part is addressed to the
creation of momentum portfolios from the whole US stock market using daily data from 500
firms in the S&P 500 index and additional 11 sectoral momentum portfolios. Results confirm
the power of momentum portfolios as the past winners accumulated the highest returns over
the whole observed period and clearly outperformed the market. Focusing closely on COVID19 period we observed past losers outperforming past winners, which confirms another
momentum anomaly on the US stock market. Therefore, this thesis referred to the Carhart Four
- Factor Model model that is based on the Fama-French Three - Factor model with additional
momentum factor. Unfortunately, results indicate no statistically significant power to explain
the momentum behaviour during COVID-19 crisis.


Česká Spořitelna


Patria Finance