This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show that: (I) idiosyncratic momentum is a distinct phenomenon that exists next to conventional momentum and is not explained by it; (ii) idiosyncratic momentum is priced in the cross-section of stock returns after...

We provide evidence on the performance and the replication success of a broad sample of 72 synthetic hedge funds from January 2009 to December 2013. Thereby, we assign the term 'synthetic hedge fund' to mutual funds and exchange-traded funds with hedge fund indices as their benchmarks....

Despite its theoretical appeal, Markowitz mean-variance portfolio optimization is plagued by practical issues. It is especially difficult to obtain reliable estimates of a stock's expected return. Recent research has therefore focused on minimum volatility portfolio optimization, which...

This paper compares the performance of three enhanced momentum strategies proposed in the literature — idiosyncratic momentum, constant volatility-scaled momentum, and dynamic-scaled momentum. Using data for individual stocks from the U.S. and across 48 international countries, we find that...