0000000000255733
AUTHOR
Janne ÄIjö
showing 2 related works from this author
Risk-Managed Industry Momentum and Momentum Crashes
2016
This is the first paper that investigates Barosso and Santa-Clara’s (2015) risk-managed momentum strategy in an industry momentum setting. We investigate traditional momentum strategies and Novy-Marx (2012) strategy. We also explore the impact of different variance forecast horizons on the average payoffs. We find that risk-managed industry momentum payoffs generate considerably higher returns than plain momentum strategies. Notably, risk-managed payoffs increase linearly as the time window for variance forecasts are contracted which is consistent for all different strategies.
Volatility-Managing International Equity Risk Factors
2018
Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk factors in Europe and Asia, whereas in Japan we find no such evidence. Confirming earlier studies, we find that a risk-based story is unlikely to explain our results.