Enhanced Momentum Strategies

@article{Hanauer2019EnhancedMS,
  title={Enhanced Momentum Strategies},
  author={Matthias X. Hanauer and Steffen Windmueller},
  journal={Risk Management eJournal},
  year={2019}
}
This paper compares the performance of three enhanced momentum strategies proposed in the literature — idiosyncratic momentum, constant volatility-scaled momentum, and dynamic-scaled momentum. Using data for individual stocks from the U.S. and across 48 international countries, we find that all three approaches decrease momentum crashes and lead to higher risk-adjusted returns, while the alphas from scaled strategies are distinct from idiosyncratic momentum alphas. In multiple model comparison… Expand

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