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Type	Bachelor's Thesis
Scope	Discipline-based scholarship
Title	Momentum in Strucutred Products. Evidence from the DAX, Euro Stoxx 50 and Swiss Market Index
Organization Unit	Financial Engineering (Markus Leippold)
Authors	Leo Beeler
Supervisors	Benjamin Wilding Markus Leippold
Language	English
Institution	University of Zurich
Faculty	Faculty of Business, Economics and Informatics
Date	2020
Abstract Text	This paper investigates whether an investor can achieve excess returns by applying a momentum strategy to structured products. We compute returns for capital guaranteed products, discount certiﬁcates and outperformance certiﬁcates for ﬁve diﬀerent maturities and with the SMI, DAX and Euro Stoxx 50 as underlyings. We ﬁnd that a portfolio consisting solely of prior loser products would have achieved the highest portfolio gains. We also ﬁnd evidence for a short-term momentum eﬀect and a long-term return reversal. These ﬁndings complement previous work as the likes of Jegadeesh and Titman (1993) or De Bondt and Thaler (1985), but stand in contrast to the conception of eﬃcient markets.
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