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 …

review the appropriate hedge fund's risk assessment models for investing in the global capital markets in time of high …

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future … performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find … that funds with volatile risk factor exposures underperform funds with stable risk factor exposures by 147 basis points p …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …