Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 4, 2022 erstellt
Description:
We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens 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 constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and risk aversion and cannot be reconciled by the exposure to standard equity risk factors