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from-the-field-175x95px.jpgFROM THE FIELD: Robeco researchers publish many whitepapers based on their own empirical studies. But they also closely follow quantitative research done by others. Head of Quantitative Equities Research David Blitz comments on notable external papers.

From the field: Volatility-scaled momentum

03-09-2015 | Insight | David Blitz, PhD A paper* suggests scaling a conventional momentum strategy by its 6-month historical realized volatility in order to target a constant risk level. The authors find that this volatility scaling doubles the risk-adjusted performance of a momentum strategy, and significantly reduces drawdowns. This performance improvement appears to be comparable with that achieved by our proprietary residual momentum strategy. Comparing the two methods, we see several advantages of our residual momentum approach.

For instance, volatility-scaled momentum involves a lot of extra turnover, while residual momentum does not. Still, it would be interesting to investigate whether an even better performance might be achieved by combining the two ideas.

* Barroso & Santa-Clara (2013), “Momentum has its moments”
David Blitz

David Blitz, PhD

Head Quantitative Equities Research

“Factor investing, aimed at systematically capturing the value, momentum, low-volatility and other premiums, holds the future.”

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David Blitz, PhD
Head Quantitative Equities Research


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