Momentum with Volatility Timing

@article{Malitskaia2019MomentumWV,
  title={Momentum with Volatility Timing},
  author={Yulia Malitskaia},
  journal={Capital Markets: Market Efficiency eJournal},
  year={2019}
}
  • Yulia Malitskaia
  • Published 2019
  • Mathematics
  • Capital Markets: Market Efficiency eJournal
The growing adoption of factor investing simultaneously prompted the active topic of factor timing approaches for the dynamic allocation of multi-factor portfolios. The trend represents a natural development of filling the gap between passive and active management. The paper addresses this direction by introducing the volatility-timed winners approach that applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the market downturn… Expand

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