Design and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selection

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dc.contributor.advisorThompson, James R.
dc.contributor.committeeMemberDobelman, John A.
dc.contributor.committeeMemberWilliams, Edward E.
dc.creatorTooth, Sarah
dc.date.accessioned2013-07-24T19:49:20Z
dc.date.accessioned2013-07-24T19:49:24Z
dc.date.available2013-07-24T19:49:20Z
dc.date.available2013-07-24T19:49:24Z
dc.date.created2012-12
dc.date.issued2013-07-24
dc.date.submittedDecember 2012
dc.date.updated2013-07-24T19:49:24Z
dc.description.abstractIn this thesis we will evaluate the effectiveness of using daily return percentiles and power means as momentum indicators for quantitative portfolio selection. The statistical significance of momentum strategies has been well-established, but in this thesis we will select the portfolio size and holding period based on current (2012) trading costs and capital gains tax laws for an individual in the United States to ensure the viability of using these strategies. We conclude that the harmonic mean of daily returns is a superior momentum indicator for portfolio construction over the 1970-2011 backtest period.
dc.format.mimetypeapplication/pdf
dc.identifier.citationTooth, Sarah. "Design and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selection." (2013) Master’s Thesis, Rice University. <a href="https://hdl.handle.net/1911/71697">https://hdl.handle.net/1911/71697</a>.
dc.identifier.slug123456789/ETD-2012-12-325
dc.identifier.urihttps://hdl.handle.net/1911/71697
dc.language.isoeng
dc.rightsCopyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.
dc.subjectPortfolio selection
dc.subjectMomentum investing
dc.subjectInvesting
dc.subjectStock selection
dc.subjectPortfolio management
dc.titleDesign and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selection
dc.typeThesis
dc.type.materialText
thesis.degree.departmentStatistics
thesis.degree.disciplineEngineering
thesis.degree.grantorRice University
thesis.degree.levelMasters
thesis.degree.nameMaster of Arts
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