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Avoiding crashes: Exploring risk-managed Momentum strategies

Sunner, Jasmin LU and Seppi, Marc LU (2021) BUSN79 20211
Department of Business Administration
Abstract
The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. This makes momentum less attractive for risk-averse investors and motivates an appropriate risk management. Previous literature introduced different approaches to manage the risk of this otherwise very profitable strategy. Therefore, this thesis studies and compares different risk-managed momentum strategies in terms of performance throughout all relevant crises of the past century.
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author
Sunner, Jasmin LU and Seppi, Marc LU
supervisor
organization
course
BUSN79 20211
year
type
H1 - Master's Degree (One Year)
subject
keywords
momentum, risk-managed Momentum strategies, momentum crashes
language
English
id
9061008
date added to LUP
2021-09-22 16:10:48
date last changed
2021-09-22 16:10:48
@misc{9061008,
  abstract     = {{The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. This makes momentum less attractive for risk-averse investors and motivates an appropriate risk management. Previous literature introduced different approaches to manage the risk of this otherwise very profitable strategy. Therefore, this thesis studies and compares different risk-managed momentum strategies in terms of performance throughout all relevant crises of the past century.}},
  author       = {{Sunner, Jasmin and Seppi, Marc}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Avoiding crashes: Exploring risk-managed Momentum strategies}},
  year         = {{2021}},
}