Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We perform momentum strategies based on these two approaches in a diversified portfolio consisting of 55 global liquid futures contracts, and further compare these results to the time series momentum and buy-and-hold strategies. We find that the momentum strategy based on the constant volatility scaling method is the most efficient approach with an annual return of 15.3%

Momentum and the Cross-section of Stock Volatility

Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect. We propose a new approach, generalised risk-adjusted momentum (GRJMOM), to mitigate the negative impact of high momentum-specific risks. GRJMOM is proven to be more profitable and less risky than existing momentum ranking approaches across multiple asset classes, including the UK stock, commodity, global equity index, and fixed income markets

A temperature gradient based Condition Estimation Method for IGBT Module

The paper presents a temperature gradient based method for device state evaluation, taking the insulated Gated Bipolar Transistor (IGBT) modules as an example investigation. Firstly, theoretical basis of this method is presented and the results from example calculation on temperature gradient indicate that the increased thermal resistance and power loss of IGBT modules would increase the temperature gradient. Then an electrical-thermal- mechanical finite element method (FEM) model of IGBT modules, which takes the material temperature-dependent characteristic into account, is utilized to estimate the temperature gradient distribution for both healthy and fatigue conditions. It is found that the temperature gradient varies with power loss. Furthermore, both the experimental and simulation investigation on the temperature gradient for different conditions were conducted, and it is concluded that the temperature gradient can not only track the change of power loss, but have a better sensitivity compared with temperature distribution. In addition, the temperature gradient can reflect the defects location and distinguish failures degree. In the end the influence on the temperature gradient distribution caused by solder fatigue, void and delamination are discussed

Momentum and the Cross-Section of Stock Volatility

Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, or called "momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect, while stocks with low realised volatility show strong momentum. A new approach, generalised risk-adjusted momentum (GRJMOM), is introduced to mitigate the negative impact of high momentum risks. GRJMOM is proven to be more profitable and less risky than the existing momentum ranking approaches in multiple asset classes, including the UK stock, commodity, global equity index, and fixed income market

A reexamination of factor momentum: How strong is it?

Recent studies show that most financial market anomalies exhibit a momentum effect. Based on two datasets, (i) an original 22-factor sample and (ii) a more comprehensive 187-factor sample, we find that factor momentum effect is weak at the individual factor level. In both samples, only about 22%– 27% of the factors exhibit strong return continuation and dominate the factor momentum portfolio while the remaining factors do not. The factor momentum strategies do not outperform the corresponding long-only strategies in either sample. The choice of factors affects the ability of factor momentum to explain individual stock momentum