TY - JOUR T1 - Momentum and Risk Adjustment JF - The Journal of Alternative Investments SP - 91 LP - 103 DO - 10.3905/jai.2015.18.2.091 VL - 18 IS - 2 AU - Martin Dudler AU - Bruno Gmür AU - Semyon Malamud Y1 - 2015/09/30 UR - https://pm-research.com/content/18/2/91.abstract N2 - Dudler and Gmür introduce a new class of momentum strategies: the risk-adjusted time-series momentum (RAMOM) strategies, which are based on averages of past futures returns that have been normalized by their volatility. They test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies outperform the standard time-series momentum strategies. In addition, RAMOM trading signals have another useful and important feature: They are naturally less dependent on high volatility. Finally, dollar turnover of RAMOM strategies is about 40% lower than that of time series momentum (TSMOM), implying a drastic reduction in trading costs.TOPICS: Futures and forward contracts, analysis of individual factors/risk premia, statistical methods, performance measurement ER -