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Winners-minus-adjusted-losers: optimizing momentum payoffs
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| 1.04 MB | Adobe PDF |
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Resumo(s)
While being considered one of the most pervasive and return-promising anomalies across various asset classes Momentum has strained investors with extreme crashes in the past. A proposed ex-ante implementable strategy based on key-findings in the available literature about the characteristics, patterns and predictability of Momentum crashes more than doubles the Sharpe ratio of conventional Momentum. More importantly it significantly reduces the crash risk by adjusting the exposure to those stocks being mostly responsible for these crashes. The strategy yields positive results during a period from 1964 to 2018 and has been tested in various subsamples.
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Momentum Crash risk Market anomalies