Risk Premia Harvesting Through Dual Momentum
Portfolio Management Consultants
October 1, 2016
Momentum is the premier market anomaly. It is nearly universal in its applicability. This paper examines multi-asset momentum with respect to what can make it most effective for momentum investors. 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.
Number of Pages in PDF File: 37
Keywords: momentum, market anomalies, momentum strategies, momentum investing, trend following
JEL Classification: C10, G10, G11, G14, G15
Date posted: April 19, 2012 ; Last revised: December 7, 2016