将动量从人群中拖出来

IF 0.6 Q4 BUSINESS, FINANCE Journal of Investing Pub Date : 2023-07-21 DOI:10.3905/joi.2023.1.277
Hamza Bahaji, Edouard Van Yen
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引用次数: 0

摘要

总体而言,拥挤风险是要素投资中的一个主要问题,特别是在动量策略中。本文通过关注动量拥挤的动态和相关风险溢价的后续变化,有助于讨论股票市场中拥挤风险的含义。理解这些含义是设计更具弹性的动量战略的关键。我们的分析表明,动量的五因素风险特征和相关风险溢价的结构随着拥挤状态的转换而发生突变。这表明,在动量策略中积极管理这种风险,会导致其风险调整后绩效的实质性改善。
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Dragging Momentum out of the Crowd
Crowding risk is a major concern in factor investing in general, and in momentum strategies in particular. This article contributes to the discussion on the implications of crowding risk in the stock market by focusing on the dynamic of momentum crowdedness and the subsequent alterations in the related risk premium. Understanding these implications is key for the design of more resilient momentum strategies. Our analysis shows that the five-factor risk profile of momentum and the structure of the related risk premium mutate with crowdedness regime switches. It suggests that actively managing this risk in momentum strategies leads to a material improvement of their risk-adjusted performance.
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来源期刊
Journal of Investing
Journal of Investing BUSINESS, FINANCE-
CiteScore
1.10
自引率
16.70%
发文量
42
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