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Equal risk contribution adopts time series momentum

Sivertsen, Axel Merlen; Skribeland, Kristoffer Vermundsberget
Master thesis
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URI
http://hdl.handle.net/11250/2487330
Date
2017
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  • Master of Science [1116]
Abstract
We study risk based portfolios with an emphasis on equal risk contribution, in a

time series momentum setting. The benchmark strategies in which we compare

the equal risk contribution includes inverse volatility, minimum variance, 1/N and

60/40. We perform an out of sample horserace of all strategies in a broad asset

class environment. We then compare these portfolios to time series momentum

long-only and long-short portfolios made up of the constituents of the broad asset

classes. We find that risk based portfolios offers attractive traits mainly by

controlling risk and avoiding large drawdowns. We also find that time series

momentum portfolios add significant value with low market exposure and

moderate momentum exposure, avoiding large drawdowns. We are skeptical of

the suitability of the long-short portfolios, even though they clearly offer the best

returns.
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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