Combining value and momentum

: evidence from the United Kingdom

Abstract

I investigate whether combining momentum and value in a double-sorted long-short strategy with a sample of large UK firms outperforms single-factor portfolios and relevant benchmarks. The paper fully focuses on the performance of the strategy and does not try to provide explanations for either the value, momentum or the combined premiums.There is one strategy that outperforms the single-factor portfolios, benchmarks, and other strategies created in this paper, which is investing in a winner strong value portfolio and shorting the loser growth portfolio. The profitability of this strategy is not explained by the factors in existing research. In addition, I find that solely investing in the winner strong value portfolio outperforms all possible strategies in this paper. This dissertation adds to the recently popular double-sorted strategy literature as UK evidence using specific construction techniques.

Date of Award	26 Apr 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Barroso (Supervisor)