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%.
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Risk-adjusted momentum, portfolio optimisation and multiple hypothesis testing controls in financial marketsAuthor: Fan, M., Jul 2022
Student thesis: Doctoral Thesis › Doctor of PhilosophyFile