Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12216/260
Title: Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
Authors: Adam Zaremba 
Umutlu, M. 
Maydybura, A. 
Issue Date: 2018
Publisher: Taylor and Francis Ltd.
Journal: Investment Analysts Journal 
Abstract: We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country indexes and 888 industry portfolios from developed and emerging markets. The VARMOM trading strategy notably outperforms and subsumes a standard momentum strategy, delivering Sharpe ratios that are two to three times higher. The VARMOM is particularly strong across portfolios characterised by high limits to arbitrage and following bull markets, supporting the behavioural explanation of momentum. The results are robust to alternative portfolio construction methods as well as the inclusion of trading costs and control variables. They are also valid for several subperiods and subsamples. © 2018 Investment Analysts Society of South Africa.
URI: http://hdl.handle.net/20.500.12216/260
DOI: 10.1080/10293523.2018.1469290
Appears in Collections:Articles

Show full item record

SCOPUSTM   
Citations

8
Last Week
0
Last month
1
checked on Sep 5, 2020

Page view(s)

1
Last Week
0
Last month
0
checked on Oct 22, 2020

Google ScholarTM

Check

Altmetric

Altmetric


Items in Corepaedia are protected by copyright, with all rights reserved, unless otherwise indicated.