Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
首次研究将Barroso和Santa-Clara的风险管理方法应用于George和Hwang的52周高点动量策略在行业组合中的盈利性，发现风险管理提升了夏普比率并显著降低了下行风险。
This is the first study to investigate the profitability of Barroso and Santa-Clara’s [J. Financial Econ., 2015, 116, 111–120] risk-managing approach for George and Hwang’s [J. Finance, 2004, 59, 2145–2176] 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of the traditional 52-week high industry momentum strategy in association with standard risk factors, the risk-managed version generates economically and statistically significant pay-offs. Notably, the risk-managed strategy is partially explained by changes in cross-sectional return dispersion, whereas the traditional strategy does not appear to be exposed to such economic risks.