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SSRN-id2407199.pdf

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📊 Size: 520 KB
📄 Pages: 52 pages
⬇️ Downloads: 34

Summary

A stop-loss strategy is proposed to limit the downside risk of the momentum strategy, which involves buying past winners and selling past losers. With a 15% stop-level, the maximum monthly losses of equal- and value-weighted momentum strategies decrease from -49.79% to -17.43% and from -64.97% to -22.10%, respectively, while Sharpe ratios more than double. The strategy raises the average return from 0.99% to 1.93% per month and reduces standard deviation from 6.01% to 4.85% per month, resulting in a higher Sharpe ratio of 0.399. The stop-loss strategy effectively avoids momentum crashes, with losses in the worst months being much lower than those of the original momentum strategy.

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Description

A stop-loss strategy is proposed to limit the downside risk of the momentum strategy, which involves buying past winners and selling past losers.

Technical Information

  • File Format: PDF
  • File Size: 520 KB
  • Pages: 52
  • Language: EN
  • Total Downloads: 34
  • Last Updated: 7 days ago

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