premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of … each momentum strategy's mean and variance generates an unconditional Sharpe ratio approximately double that of the static … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …

strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy …-and-hedge strategy involving taking a long position in convertible bonds (“CBs”) while hedging the equity risk alone explains a …