چکیده مقاله
Investors in emerging markets, like the Iranian stock market, face unique challenges and opportunities due to higher volatility and distinct risk return profiles This paper compares the Momentum and Buy and Hold strategies in three key sectors: FelezateAsasi basic metals , Kanehaye GeyreFelezi non metallic minerals , and Shimiyaee chemicals Using data from June 2009 to June 2024, we evaluate these strategies based on annualized return, annualized volatility, Sharpe ratio, and cumulative return The findings show that while Buy and Hold often yields higher returns, the Momentum strategy consistently delivers better risk adjusted performance In the Kanehaye GeyreFelezi sector, the Momentum strategy outperforms in both returns and risk metrics, indicating its potential in volatile markets These insights guide investors in optimizing their portfolios in the Iranian stock market
کلیدواژهها
نویسندگان
Maryam Bastani
Master's degree student in Financial Engineering, Faculty of Industrial Engineering, K N Toosi University of Technology, Tehran, Iran
شیوه ارجاع
Bastani, Maryam,1403,Comparative Analysis of Momentum and Buy-and-Hold Strategies in the Iranian Stock Market,The 10th International Conference on Industrial and Systems Engineering,Mashhad
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