based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …