Using Volatility to Enhance Momentum Strategies

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Bornholt, Graham
Malin, Mirela
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2011
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Abstract

A simple modification to the popular momentum strategy applied to international market indices produces highly profitable results in emerging market indices. High-volatility recent winners outperform low-volatility recent losers on an annualised basis by 17.4 per cent, with the strategy's long portfolio driving the superior performance. In contrast, applying the momentum/volatility strategy to developed market indices produces small but consistent improvements over the standard momentum approach.

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JASSA

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2011

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2

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© 2011 JASSA and the Authors. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.

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Banking, finance and investment

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