讲座题目：Partial Moment Momentum
时 间：1月14日上午09：30 - 10：30
摘要：While momentum profits benefit from persistent trends of the market, such strategies are unable to distinguish between upside and downside risk and suffer consequently. We propose partial moment-decomposed momentum trading strategies and find that they outperform plain momentum and volatility-adjusted momentum strategies. We find strong outperformance for them during states of market downturn. The outperformance is robust across different time periods. Furthermore, analysis, based on conventional factor risk, shows negligible exposure to factor risk for our preferred portfolio.