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 …

-established determinants of returns from the real world also affect asset prices in this market, despite the absence of systematic risk. The …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

. Moreover, analysis of the micro data indicates that expectations of both risk and returns on stocks are strongly influenced by …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

managers to achieve better returns, but they could also result in excessive risk taking. While we find evidence that these …

exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and …

mutual fund investors consider climate-related transition risk to be an undesirable fund feature and accordingly allocate … more money to funds with lower climate-related transition risk. The size of the impact of this risk on fund flows differs …

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk … idiosyncratic risk metrics. Further, we perform a comparative study on the performance of the IMOM portfolios with respect to … various risk metrics. At last, we explore the possible explanations to the IMOM as well as risk-based IMOM portfolios. We find …