Back to Community
Overview of Quantopian-Based Paper on Momentum with Volatility Timing Webinar Video Available

Yesterday, we hosted a live webinar with Yulia Malitskaia. In this webinar, Yulia discussed her Quantopian-based research presented in the paper "Momentum with Volatility Timing”. The paper addresses the active topic of factor timing for dynamic multi-factor investing by introducing the volatility-timed winners approach that applies past volatilities as a timing predictor to mitigate momentum factor underperformance. The proposed approach was confirmed with Spearman rank correlation. Furthermore, the paper demonstrated the performance of the proposed method in relation to the conventional cross-sectional momentum factor, volatility scaling, risk-based asset allocation, and time-series momentum.

You can view her forum post for the paper here.

Overall, the study addresses three momentum instantiations: factor, the basis for index construction, and trading strategy. Quantopian has been instrumental for conducting this composite study and the webinar provides an overview of the different aspects of the research alongside the Quantopian platform and tools.

The webinar video can be watched below.

Get notified about when we host more live events and release videos by subscribing to our YouTube channel and turning on notifications.
As always, if there are any topics you would like us to focus on for future videos, please comment below or send us a quick note at [email protected].

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.