Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Industry Momentum Scaling Time-Varying Risk in an Industrial Setting |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 51 |
| Date | 2022 |
| Abstract Text | Over the last two decades, enormous losses associated with the momentum strategy surged again to an all-time high since the Great Depression. This thesis examines the contribution of the Constant and Dynamic Volatility Scaling Approach to the momentum effect in an industrial composition. Their contributions suggest that momentum risks are highly variable over time and partly predictable. I provide evidence that risk-scaling strategies can approximately double the Sharpe ratio of momentum in industries. Furthermore, improvements persist during various sub-sample periods. It appears that the Constant Volatility Approach is the most efficient strategy in this setting. |
| PDF File |
Download
|
| Export |
BibTeX
|