{"id":40890203,"date":"2023-04-13T11:24:47","date_gmt":"2023-04-13T05:54:47","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890203"},"modified":"2023-04-13T11:24:58","modified_gmt":"2023-04-13T05:54:58","slug":"volatility-volatility-of-volatility-and-momentum","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2023\/04\/13\/volatility-volatility-of-volatility-and-momentum\/","title":{"rendered":"Volatility, Volatility of Volatility, and Momentum"},"content":{"rendered":"\n<p>Momentum has proved to be the premier anomaly in different markets. And so has low-volatility. What happens if you combine both of them? Also, what if you also add low volatility of volatility into the mix? <\/p>\n\n\n\n<p>There are a couple of ways to skin this cat. You can start with low-volatility and add momentum. Or, you could go the other way &#8211; start with momentum and then add a volatility sort.<\/p>\n\n\n\n<p>tl;dr: go with low-volatility first, momentum second (VOLxMOM).<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/volatility-momentum\/sharpe.png\" alt=\"\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/volatility-momentum\/combined-mom-vol.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>While a simple momentum sort gives the highest return, adding a low-volatility filter to it gets you a better risk-adjusted return. <\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/volatility-momentum\/combined-vol-mom.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>The order of the sort &#8211; first volatility and then momentum or first momentum and then volatility &#8211; doesn&#8217;t seem to matter much for the Sharpe rankings but the former ended up with slightly better returns.<\/p>\n\n\n\n<p>Code and charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/volatility-momentum\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Momentum has proved to be the premier anomaly in different markets. And so has low-volatility. What happens if you combine both of them? Also, what if you also add low volatility of volatility into the mix? There are a couple of ways to skin this cat. You can start with low-volatility and add momentum. Or, &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3491,1150],"class_list":["post-40890203","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-momentum","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890203","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890203"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890203\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890203"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890203"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890203"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}