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This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …
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risk. These results are robust across eight different markets and asset classes and multiple time periods …
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