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

Minyou Fan, Youwei Li and Jiadong Liu

MPRA Paper from University Library of Munich, Germany

Abstract: We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (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%.

Keywords: Cross-sectional momentum; Time series momentum; Momentum crashes; Volatility scaling (search for similar items in EconPapers)
JEL-codes: G02 G12 (search for similar items in EconPapers)
Date: 2017-12-20
New Economics Papers: this item is included in nep-rmg
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Related works:
Journal Article: Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:83510

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