Optimal Dynamic Momentum Strategies

Author(s):  
Kai Li ◽  
Jun Liu
CFA Digest ◽  
1997 ◽  
Vol 27 (4) ◽  
pp. 38-40
Author(s):  
S. Brooks Marshall
Keyword(s):  

Author(s):  
Marco Battaglini ◽  
Rohit Lamba

Author(s):  
Jose L. B. Fernandes ◽  
Juan Ignacio Peña ◽  
Benjamin M. Tabak ◽  
Jose Renato Haas Ornelas

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.


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