Comparative Analysis of Momentum and Buy-and-Hold Strategies in the Iranian Stock Market

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 ۲۰۰۹ to June ۲۰۲۴, 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.

کلیدواژه ها:

Investment Strategies ، Algorithmic Trading ، Backtesting ، Portfolio Optimization ، Volatility Management ، Risk-Adjusted performance ، Financial Metrics