PT - JOURNAL ARTICLE AU - Martin Dudler AU - Bruno Gmür AU - Semyon Malamud TI - Momentum and Risk Adjustment AID - 10.3905/jai.2015.18.2.091 DP - 2015 Sep 30 TA - The Journal of Alternative Investments PG - 91--103 VI - 18 IP - 2 4099 - https://pm-research.com/content/18/2/91.short 4100 - https://pm-research.com/content/18/2/91.full AB - 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