The Constant Leverage covering strategy for the equity momentum portfolio (CLvg) developed in this project cannot mask … better than the momentum portfolio. This approach is different from other covering strategies available in the literature … that focus on increasing the right tail of the momentum returns distribution at a faster rate than they increase the left …

Since momentum arbitrage activity, buying winners and selling losers, effectively enlarges the return spread between … these two groups, I find that the momentum spread (the difference of the formation-period recent 6-month returns between … winners and losers) negatively predicts future momentum profit in the long-term, but not in the following month. I further …

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 …