We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

The paper focuses on the impact of time horizon on risk and return, which usually is the object of discussions about … “stock versus bond”. The aim of this paper is to investigate the transformation of risk and return when increasing the … were more attractive than in bonds: the risk of shares fell to the risk of bonds, but at the same time, the return of …