Dynamic scaled momentum strategies in Tehran stock exchange

Document Type : Original Article

Authors
Mohammadreza Ghaseminejad 1
Kamran Pakizeh 2
1 MSc., DD of Financial Engineering, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran
2 Associate Professor, DD of Financial Engineering, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran
10.22034/jik.2025.78001.4609
Abstract
This study examines the performance of dynamic scaled momentum strategies (dMOM) in the Tehran Stock Exchange, using data from 100 stocks that represent the majority of the market value during the period from April 2013 to March 2024. The dynamic scaling method allows momentum strategies to adjust their weights based on current market conditions. For instance, in a bearish market with high volatility, the momentum weight may decrease or even reverse, while in stable or bullish markets with low volatility, a higher weight may be allocated to the momentum strategy. The results show that dMOM strategies, particularly dMOM3 and dMOM4, outperform other strategies in improving risk-adjusted returns. Overall, the findings suggest that dynamic momentum strategies can provide more stable returns and better risk management in volatile markets.
Keywords
Momentum Strategy
Dynamic Scaling
Risk-Adjusted Return
Tehran Stock Exchange
Risk Management
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