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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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