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 …

, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return …

such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It is well known that the performance of …In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on … the relationship between the performance of risk-based portfolios and the estimated accuracy of covariance matrices. In …

Recent research advocates volatility diversification for long equity investors. It can even be justified when short …-term expected returns are highly negative, but only when its equilibrium return is ignored. Its advantages during stock market … difficulty of predicting when volatility diversification is optimal. Hence insitutional investors should be sceptical of studies …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

robust and significant negative risk premium for VOV exposure in the crosssection of hedge fund returns. We further show that …This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain … the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross …This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the … performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …

. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in … of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not … by the realized return shock). Hence, both return and realized measure are included in the return volatility equation …