How Different Risk Metrics Help Time the Momentum Factor

Comments (1)

Joltypark · 1d ago

I just published a follow-up to my previous blog post on timing momentum strategies using realized volatility. This time, I expanded the analysis to include other risk metrics like downside volatility, VaR (95%), maximum drawdown, skewness, and kurtosis — all calculated on daily momentum factor returns with a rolling 1-year window.

Continuous AI from GitHub Next (githubnext.com)

Ask HN: Has Google started hacking up the free Gemini?

Blue Screen: How Peter Gustafson Defragmented the World [pdf] (kylebenzle.com)

iPhone 11 emulation done in QEMU (github.com)

Breaking My Security Assignments (akpain.net)

Sandboxing: Foolproof Boundaries vs. Unbounded Foolishness (queue.acm.org)

Hypervisors for Memory Introspection and Reverse Engineering (secret.club)

Why Does My Ripped CD Have Messed Up Track Names? and Why Is One Track Missing? (akpain.net)

The International Standard for Identifying Postal Items (akpain.net)

Lyria Realtime API (magenta.tensorflow.org)

2025 Blockchain and Cryptocurrency Threat Malware in the Open Source (socket.dev)

Kagi for Libraries (kagi.com)

How AI is creeping into our personal lives – The Hustle (thehustle.co)

WWDC25: Explore Voice Control in Xcode [video] (youtube.com)

Two Engineers Ship Like a Team of 15 with AI Agents (every.to)

New Relic aims to crack open MCP servers • DEVCLASS (devclass.com)

Elon Musk's Doge Goons Surreptitiously Transmitted Reams of White House Data (thedailybeast.com)

Unprecedented optical clock network lays groundwork for redefining the second (optica.org)

Becoming an AI-Native Engineer (rfitz.io)

Passenger on seat 11A survived Air India crash (hindustantimes.com)

Weighing the Moon (mathpages.com)

The Python Language Summit 2025 (pyfound.blogspot.com)

The Presidency and the Constitution (2010) (imprimis.hillsdale.edu)

Ask HN: What have the LLMs ever done for us?

When Is a Secret Not a Secret? (algemeiner.com)

Stomping Out Damage Control for Better Game Graphics [video] (youtube.com)

The Genealogy of Pope Leo XIV (nytimes.com)

Collection of LLM Apps (github.com)

2025 CNBC Disruptor 50 (cnbc.com)

The Feynman Lectures of Physics (feynmanlectures.caltech.edu)

Ghosts in the Endpoint: How Attackers Evade Modern EDR Solutions (medium.com)

Make Your Programs Stealthier (github.com)

Canada's new 'border bill' allows for warrantless telecommunications unmasking (cbc.ca)

My First Attempt at Building with AI Agents (dale.engineer)

A Day in the Life of Server #47B-2: An AWS Data Center Memoir (lastweekinaws.com)

5 Years, 160 Comments, and the Vulnerability That Refused to Die (infosecwriteups.com)

Aerospace Startup JetZero to Start Building Futuristic Planes in North Carolina (wsj.com)

AIs to move from coding to product management? (substack.com)

An Ode to the Busanhänger, Munich's Weirdest Transit Vehicle [video] (youtube.com)

How JavaScript Was Written Back in the Day (trevorlasn.com)

Dual-Wavelength Patterning of Degradable Thermoset Supports for 3D Printing (pubs.acs.org)

Show HN: I made an app that helps non-native speakers sound confident in English (apps.apple.com)

Air India disaster is first fatal Boeing 787 accident (reuters.com)

Time Is Not the Thief (ashleyjanssen.com)

The Secrets of the Man Who Made Nvidia the Most Valuable Company (wsj.com)

Epic Effort to Ground Physics in Math Opens Up the Secrets of Time (quantamagazine.org)

Seedance 1.0 (seed.bytedance.com)

Random Walk: A Modern Introduction [pdf] (math.uchicago.edu)

It took longer to get the API key (algarch.com)

Mill a JVM build tool based on pure functional programming [video] (youtube.com)

How Different Risk Metrics Help Time the Momentum Factor

Comments (1)