Johannes Paulus Du Plessis

Independent

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Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming
Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 29 Jul 2016
Johannes Paulus Du Plessis and Winfried G. Hallerbach
Independent and Robeco Asset Management, Quantitative Investment Research
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Abstract:

momentum, trend following, volatility weighting, cross-section dispersion