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The Journal of Alternative Investments

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Momentum and Risk Adjustment

Martin Dudler, Bruno Gmür and Semyon Malamud
The Journal of Alternative Investments Fall 2015, 18 (2) 91-103; DOI: https://doi.org/10.3905/jai.2015.18.2.091
Martin Dudler
is a portfolio manager at Quantica Capital AG in Schaffhausen, Switzerland.
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  • For correspondence: martin.dudler@quantica-capital.com
Bruno Gmür
is a founding partner and CEO/CIO of Quantica Capital AG in Schaffhausen, Switzerland.
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  • For correspondence: bruno.gmuer@quantica-capital.com
Semyon Malamud
is a professor of finance at Ecole Polytechnique Fédérale de Lausanne and the Swiss Finance Institute in Lausanne, Switzerland, and a research fellow at the Center for Economic Policy Research in London, U.K.
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  • For correspondence: semyon.malamud@epfl.ch
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Abstract

Dudler and Gmür introduce a new class of momentum strategies: the risk-adjusted time-series momentum (RAMOM) strategies, which are based on averages of past futures returns that have been normalized by their volatility. They test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies outperform the standard time-series momentum strategies. In addition, RAMOM trading signals have another useful and important feature: They are naturally less dependent on high volatility. Finally, dollar turnover of RAMOM strategies is about 40% lower than that of time series momentum (TSMOM), implying a drastic reduction in trading costs.

TOPICS: Futures and forward contracts, analysis of individual factors/risk premia, statistical methods, performance measurement

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The Journal of Alternative Investments: 18 (2)
The Journal of Alternative Investments
Vol. 18, Issue 2
Fall 2015
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Momentum and Risk Adjustment
Martin Dudler, Bruno Gmür, Semyon Malamud
The Journal of Alternative Investments Sep 2015, 18 (2) 91-103; DOI: 10.3905/jai.2015.18.2.091

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Momentum and Risk Adjustment
Martin Dudler, Bruno Gmür, Semyon Malamud
The Journal of Alternative Investments Sep 2015, 18 (2) 91-103; DOI: 10.3905/jai.2015.18.2.091
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  • Article
    • Abstract
    • MOMENTUM STRATEGIES
    • RAMOM VERSUS TSMOM
    • TURNOVER AND TRANSACTION COSTS
    • CONCLUSION
    • Appendix
    • REFERENCES
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