Cryptocurrency market risk-managed momentum strategies

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-01 DOI:10.1016/j.frl.2025.107879

Ao Yang

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Abstract

This study investigates the application of risk-managed momentum strategies, specifically the approach proposed by Barroso and Santa-Clara (2015), within cryptocurrency markets. Our analysis reveals that managing the risk of momentum significantly enhances the performance of conventional momentum strategies, increasing average weekly returns from 3.18 % to 3.47 % and annualized Sharpe ratios from 1.12 to 1.42. Notably, unlike equity markets where risk management primarily mitigates downside risks, in cryptocurrency markets, the improvement stems from augmented returns, reflecting distinct market dynamics characterized by the absence of extended momentum crashes. Robustness tests confirm the strategy's effectiveness under various conditions, including transaction costs, short-sale constraints, and across different investment horizons. These findings bridge a gap between traditional and emerging financial markets, offering practical insights for investors seeking adaptable strategies in the volatile cryptocurrency landscape. Our results highlight the economic benefits and practical applicability of incorporating risk of momentum into cryptocurrency momentum investing.

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加密货币市场风险管理动量策略

本研究调查了风险管理动量策略在加密货币市场中的应用，特别是Barroso和Santa-Clara（2015）提出的方法。我们的分析显示，动量风险管理显著提高了传统动量策略的绩效，将平均周收益从3.18%提高到3.47%，年化夏普比率从1.12提高到1.42。值得注意的是，与风险管理主要减轻下行风险的股票市场不同，在加密货币市场，这种改善源于回报的增加，反映了以没有长期动量崩溃为特征的独特市场动态。稳健性测试证实了该策略在各种条件下的有效性，包括交易成本、卖空限制和不同的投资范围。这些发现弥合了传统金融市场和新兴金融市场之间的差距，为在动荡的加密货币环境中寻求适应性策略的投资者提供了实用的见解。我们的研究结果突出了将动量风险纳入加密货币动量投资的经济效益和实际适用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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