Category: Momentum (Page 3 of 4)
We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.
The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.
With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"
As a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results.
Tactical Credit
By Corey Hoffstein
On June 3, 2019