Timing the Momentum Factor Using Its Own Volatility
1 Joltypark 1 6/5/2025, 8:46:42 PM quantnook.blogspot.com ↗
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Joltypark · 1d ago
This post explores how using the momentum factor’s own historical volatility to time exposure can improve returns and risk-adjusted performance. Using nearly 100 years of data from Kenneth R. French’s Data Library, the analysis shows that limiting exposure during high-volatility periods reduces drawdowns and enhances the Sharpe ratio. Includes clear data-driven insights and visualizations for those interested in quantitative investing and factor strategies.