References (18)



Relative Strength and Portfolio Management

John Lewis

Dorsey Wright Money Management

January 31, 2011

Dorsey Wright Money Management, January 2012

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

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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
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References:  18