Risk Premia Harvesting Through Dual Momentum

Gary Antonacci

Portfolio Management Consultants

April 1, 2012

Momentum is the premier market anomaly. It is nearly universal in its applicability. This paper examines cross-asset momentum with respect to what can make it most effective for momentum investors. We explore price volatility as a value-adding factor. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown. We see that combining absolute and relative momentum gives the best results. Finally, we show how asset modules can serve as diversification building blocks that allow us to easily combine relative with absolute momentum and capture risk premia profits.

Number of Pages in PDF File: 37

Keywords: momentum, market anomalies, momentum strategies, momentum investing, trend following

JEL Classification: C10, G10, G11, G14, G15

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Date posted: April 19, 2012 ; Last revised: June 13, 2015

Suggested Citation

Antonacci, Gary, Risk Premia Harvesting Through Dual Momentum (April 1, 2012). Available at SSRN: http://ssrn.com/abstract=2042750 or http://dx.doi.org/10.2139/ssrn.2042750

Contact Information

Gary Antonacci (Contact Author)
Portfolio Management Consultants ( email )
#543-1755 Robson Street
Vancouver, British Columbia V6G3B7
HOME PAGE: http://optimalmomentum.com
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