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Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55

37 Pages Posted: 19 Apr 2012 Last revised: 23 May 2017

Gary Antonacci

Portfolio Management Consultants

Date Written: October 1, 2016

Abstract

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.

Keywords: momentum, market anomalies, momentum strategies, momentum investing, trend following

JEL Classification: C10, G10, G11, G14, G15

Suggested Citation

Antonacci, Gary, Risk Premia Harvesting Through Dual Momentum (October 1, 2016). Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55. Available at SSRN: https://ssrn.com/abstract=2042750 or http://dx.doi.org/10.2139/ssrn.2042750

Gary Antonacci (Contact Author)

Portfolio Management Consultants ( email )

#543-1755 Robson Street
Vancouver, British Columbia V6G3B7
Canada

HOME PAGE: http://optimalmomentum.com

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