market declines, when market volatility is high, and contemporaneous with market \rebounds." The low ex-ante expected returns …

” states – following market declines and when market volatility is high – and are contemporaneous with market rebounds. We show … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …

'' states -- following market declines and when market volatility is high -- and are contemporaneous with market rebounds. We … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …

during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in … both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark …