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Quantitative Finance · Glossário

O que é Volatility-scaled momentum?

Definition 5.4 Strategies I: Equities and Futures · Capítulo 5 — Momentum

Volatility-scaled momentum holds a momentum portfolio with a weight inversely proportional to the strategy’s own recent realised volatility, so that its forecast volatility is constant; the weight is recomputed each period from data before it.

Calendar-year returns of Kenneth French’s momentum factor, raw and scaled each month to 12% by its trailing 126-day volatility, 1928–2025. Derived from the Kenneth R. French Data Library (Mom, monthly and daily, 202607 CRSP file); the raw series is not redistributed.
Figure 5.2. Calendar-year returns of Kenneth French’s momentum factor, raw and scaled each month to 12% by its trailing 126-day volatility, 1928–2025. Derived from the Kenneth R. French Data Library (Mom, monthly and daily, 202607 CRSP file); the raw series is not redistributed.
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