Quantitative Research Note2025Canonical long-form →

Time-Series Momentum + Vol Targeting

Vol-targeting lifts Sharpe 0.27 → 0.39 and halves max DD (−62% → −30%).

Quantitative ResearchPublished Sat Dec 20 2025 00:00:00 GMT+0000 (Coordinated Universal Time)

EVAL-FIRST31 GATESNDA-CLEANPUBLIC DATAALPHASIGNAL > NOISEREPRODUCIBLENOTEBOOK-COMMITTEDCITABLEBIBTEX + DOI

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@techreport{macion2025quant03timeseriesmomentumvoltarget,
  author       = {Macion, Christian T.},
  title        = {Time-Series Momentum + Vol Targeting},
  institution  = {Independent research},
  year         = {2025},
  date         = {2025-12-20},
  note         = {Public-data reproducible. Canonical long-form: https://christianmacion-portfolio.pages.dev/projects/quant/03-timeseries-momentum-voltarget/},
  url          = {https://christianmacion-portfolio.pages.dev/projects/quant/03-timeseries-momentum-voltarget/}
}

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