D'Souza et al. looked at both forms of momentum individually, as well
as dual momentum.
In particular, there is a model known
as Dual Momentum Investing which offers better returns while controlling the risk.
In their July 2017 paper entitled «Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less», Wouter Keller and Jan Keuning introduce VAA
as a dual momentum asset class strategy aiming at returns above 10 % with drawdowns less than -20 % deep.
Not exact matches
He then investigates the performance of this
dual momentum strategy
as a safe haven during S&P 500 crises defined in two ways: (1) drawdowns of at least 20 % peak to trough; or, (2) monthly declines of at least 5 %.
In his February 2015 paper entitled «The Search for Crisis Alpha: Weathering the Storm Using Relative
Momentum», Nathan Faber tests a dual momentum safe haven based on U.S. Treasuries of different durations as proxied by either constant maturity indexes or exchange - traded funds
Momentum», Nathan Faber tests a
dual momentum safe haven based on U.S. Treasuries of different durations as proxied by either constant maturity indexes or exchange - traded funds
momentum safe haven based on U.S. Treasuries of different durations
as proxied by either constant maturity indexes or exchange - traded funds (ETFs).
The
dual - clutch automatic upshifts without losing
momentum, which is supercool, but suffers occasional delays and hiccups caused by a conflict between the need to preselect the next gear and the inability of the black box to predict the unpredictable, such
as an aborted passing maneuver.
Its
dual - clutch transmission lags
as the throttle is applied and thereafter valuable moments are lost
as momentum builds.
As an added bonus, the spreadsheet also has four additional sheets using a
dual momentum strategy with broker specific commission - free ETFs.
As an added bonus, the spreadsheet also has four additional sheets using a
dual momentum strategy with broker specific commission - free ETFs for TD Ameritrade, Charles Schwab, Fidelity, and Vanguard.
DMSR is no longer
as attractive
as broader - based
dual momentum models like GEM.
My book's GEM model is designed
as a do - it - yourself approach using
dual momentum focused on stock indices.
Antonacci's book,
Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, also details
Dual Momentum as a total portfolio strategy.
Hewill show how both forms of
momentum can be used effectively
as dual momentum.Finally, Gary will describe the behavioral biases you must deal with and the mind set youneed to become a successful investor
The
dual momentum model uses relative
momentum to select the best performing model assets and incorporates absolute
momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.
The
Momentum In - Ear earbuds have a mirror chrome finish upon a stainless steel body,
as well
as an elliptical cable with a
dual - tone design — Sennheiser promises this will help cut down on the tangles that often plague earbuds.