TREND VS. MOMENTUM IN THE NORDICS IN THE COVID-19 ERA

Abstract

In this thesis, we test the Quantitative Momentum Strategy (QMS) and Trend- Following Simple Moving Average (SMA) Strategy in five different Nordic markets during the COVID-19 era. Four markets consist of the 100 largest stocks in terms of market capitalization in Denmark, Finland, Norway and Sweden. The fifth market is a combined market containing the top 100 stocks in terms of market capitalization from each country. We test various QMS and SMA strategies in the Nordic combined market against the Nordic MSCI Nordic index. The QMS(H6F36) and SMA(5) exhibit the greatest performance among the strategies in the combined market. The best performing QMS and SMA strategies are then applied to each Nordic country specific market and tested against their respective indices. Our research show that the SMA(5) strategy outperforms the market in all countries except the for the combined Nordic Market. In the combined portfolio, the MSCI index beats the SMA(5) strategy. The QMS (H6F36) does not outperform the market in any countries, nor in the Nordics.