Momentum has its moments

• 成果类型: Article
• 署名作者: Barroso, Pedro; Santa-Clara, Pedro
• 署名单位: University of New South Wales Sydney; Universidade Nova de Lisboa; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.010
• 发表日期: 2015
• 页码: 111-120
• 关键词: Anomalies; momentum; TIME-VARYING RISK; Transaction costs of momentum

摘要

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle than the original version. (C) 2014 Elsevier B.V. All rights reserved.