Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches

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Abstract

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and SantaClara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We perform momentum strategies based on these two approaches in a diversified portfolio consisting of 55 global liquid futures contracts, and further compare these results to the time series momentum and buy-and-hold strategies. We find that the momentum strategy based on the constant volatility scaling method is the most efficient approach with an annual return of 15.3%.
Original languageEnglish
JournalResearch in International Business and Finance
Early online date04 Jan 2018
DOIs
Publication statusPublished - Dec 2018

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