Hirschey, Nicholas H.Gouveia, Jorge Fresta Homem de2023-08-022023-08-022023-01-132022-12-16http://hdl.handle.net/10362/156163Momentum 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.engConstant-volatilityMomentumTrend-followingRisk parityBeta targetingmaster thesis203310810