Dorsey Wright Money Management, January 2012
17 Pages Posted: 4 Feb 2012
Date Written: January 31, 2011
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: 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