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 …

) specification measure. The changes in expected returns with a positive shock in the exchange rate risk and unanticipated inflation … policies from European central bank (ECB). The robustness checks show the prevalence of macro risks, and market risk cannot be …

which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns … to a wide array of sources of systematic risk we find that robust alpha survives. Experimenting with risk parity … impact of applying trend following methods far outweighs momentum and risk parity adjustments in terms of risk …