Relative Strength and Portfolio Management

Dorsey Wright Money Management, January 2012

17 Pages Posted: 4 Feb 2012  

John Lewis

Dorsey Wright Money Management

Date Written: January 31, 2011

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.

Keywords: Momentum, Quantitative, Stocks

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

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

John Lewis (Contact Author)

Dorsey Wright Money Management ( email )

595 East Colorado Blvd.
Pasadena, CA 91101
United States

Paper statistics

Downloads
2,683
Rank
3,316
Abstract Views
6,593