Volatility-adjusted Momentum

Compute the volatility-adjusted momentum of an asset.

References

• Shaik, R. (2011). Risk-adjusted momentum: A superior approach to momentum investing. White Paper. Bridgeway Capital Management
• Adam Zaremba, Mehmet Umutlu & Alina Maydybura (2018): Less pain, more gain: Volatility-adjusted residual momentum in international equity markets, Investment Analysts Journal