Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
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 approa...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Elsevier Ltd
2018
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Subjects: | |
Online Access: | View Fulltext in Publisher |