Martin Dudler

Quantica Capital

Freier Platz 10

Schaffhausen

Switzerland

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Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Martin Dudler, Bruno Gmuer and Semyon Malamud
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
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Abstract:

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momentum, risk, return, volatility, trend following