Abstract

https://ssrn.com/abstract=1998935
 
 

References (18)



 


 



Relative Strength and Portfolio Management


John Lewis


Dorsey Wright Money Management

January 31, 2011

Dorsey Wright Money Management, January 2012

Abstract:     
This paper presents the results of several relative strength (momentum) strategies tested in a real world portfolio management setting. Monte Carlo simulations are used to determine the possible range of outcomes if a portfolio manager selects a subset of high relative strength (momentum) securities over time. A testing protocol that rebalances the portfolio on a continuous basis is also used to simulate real world portfolio management practices.

Number of Pages in PDF File: 17

Keywords: Momentum, Quantitative, Stocks

JEL Classification: G11, C10, C15, C52, E00


Open PDF in Browser Download This Paper

Date posted: February 4, 2012  

Suggested Citation

Lewis, John, Relative Strength and Portfolio Management (January 31, 2011). Dorsey Wright Money Management, January 2012. Available at SSRN: https://ssrn.com/abstract=1998935

Contact Information

John Lewis (Contact Author)
Dorsey Wright Money Management ( email )
595 East Colorado Blvd.
Pasadena, CA 91101
United States
Feedback to SSRN


Paper statistics
Abstract Views: 6,268
Downloads: 2,635
Download Rank: 3,238
References:  18