Learning From Research Affiliates' "Hot Potato: Momentum as an Investment Strategy"
Relative Momentum is a viable complementary investment strategy to a traditional portfolio.
01 October, 2013
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Learning From Johan's "Demystifying momentum"
The paper finds positive momentum profits for the 6 different types of momentum strategies tested but these profits were only better than an equal-weighted strategy in the in-sample period.
01 July, 2013
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Learning From Mebane Faber's "A Quantitative Approach to Tactical Asset Allocation"
Quantitative market timing utilising a 10-month moving average approach reduces portfolio risk significantly.
01 April, 2013
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Learning From Gary Antonacci's "Risk Premia Harvesting Through Dual Momentum"
Both Absolute and Relative Momentum can enhance returns and Absolute Momentum reduces volatility and drawdown more. Combining Absolute and Relative Momentum gives the best risk-adjusted returns.
01 March, 2013
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Learning From Gary Antonacci's "Optimal Momentum: A Global Cross Asset Approach"
Relative momentum can be used for adaptive asset allocation for better risk-adjusted returns.
01 December, 2011
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Learning From Mebane Faber's "Relative Strength Strategies for Investing"
The paper explores Relative Momentum strategy on Equities Sectors.
01 June, 2010
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Learning From "Using Style Index Momentum to Generate Alpha"
Relative Momentum applied on Style Indexes delivered positive results.
01 January, 2010
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Learning From AQR's "The Case for Momentum Investing"
Relative Momentum is a persistent anomaly and complements a value-focused portfolio.
01 January, 2010
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Learning From BT Funds Management's "Do Momentum Based Strategies Still Work In Foreign Currency Markets?"
Buying the most attractive currency and selling the least attractive currency obtains average excess returns that are significantly positive.
01 January, 2010
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