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In a quest for an improved momentum strategy
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 1.24 MB | Adobe PDF |
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Resumo(s)
Momentum is one of the most studied anomalies in the literature. For decades it delivered
significant excess returns, however lately it has been underperforming. In this work I show that by
combining a dual momentum strategy with risk parity weighting and volatility scaling, a
considerable amount of the momentum strategies downfalls can be solved, while increasing the
Sharpe Ratio almost five times in comparison with the default momentum strategy, and dramatically
reducing the tail and crash risk. These results are further improved, after combining with the
remaining strategies from my group, using Markowitz’ portfolio optimization theory.
Descrição
Palavras-chave
Constant-volatility Momentum Trend-following Risk parity Beta targeting