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ETF Analysis: Strategy Based on Momentum

Student: Kirill Troynin

Supervisor: Victoria V. Dobrynskaya

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 8

Year of Graduation: 2019

Nowadays ETFs have become extremely popular, the number of them has been growing rapidly for the last years. However, not many papers have looked at the returns of them. This paper is devoted to study the returns of the ETFs and focus on the momentum effect. This article proves the presence of momentum and value effects in the ETFs returns based on the European data sample. Firstly, the analysis is based on the raw returns and Sharp ratios. Then the paper focuses on the regression analysis. Overall, momentum portfolios appeared to have high returns, compare to market portfolio. Moreover, regression analysis proved that those returns cannot be explained by other common risk factors.

Full text (added June 13, 2019)

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