Momentum Crashes. by Kent Daniela, obias J. Moskowitz, Journal of Financial Economics. Volume 122, Issue 2, November 2016, Pages 221–247

From abstract: “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. These results are robust across multiple time periods, international equity markets, and other asset classes.”

Link to paper


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