Risk-managed momentum allows investors to increase the Sharpe ratio of the momentum strategy and to reduce momentum crashes. Yet, the improvement in the performance comes at the price of often assuming a levered position on plain momentum. I show that leverage-constrained investors benefit from a risk-managed momentum strategy that scales the momentum exposure with the past realized positive semi-variance of momentum returns rather than with the past realized variance.

Risk-Managed Momentum: the Effect of Leverage Constraints / Nucera, FEDERICO CALOGERO. - In: RIVISTA BANCARIA. MINERVA BANCARIA. - ISSN 1594-7556. - 73:6(2017), pp. 69-80.

Risk-Managed Momentum: the Effect of Leverage Constraints

federico nucera
2017

Abstract

Risk-managed momentum allows investors to increase the Sharpe ratio of the momentum strategy and to reduce momentum crashes. Yet, the improvement in the performance comes at the price of often assuming a levered position on plain momentum. I show that leverage-constrained investors benefit from a risk-managed momentum strategy that scales the momentum exposure with the past realized positive semi-variance of momentum returns rather than with the past realized variance.
Momentum, Variance decomposition, Performance
Risk-Managed Momentum: the Effect of Leverage Constraints / Nucera, FEDERICO CALOGERO. - In: RIVISTA BANCARIA. MINERVA BANCARIA. - ISSN 1594-7556. - 73:6(2017), pp. 69-80.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/176752
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