Risk Premia Harvesting Through Dual Momentum

G. Antonacci
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引用次数: 22

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.
通过双重动力获取风险溢价
动量是首要的市场异常现象。它的适用性几乎是普遍的。本文探讨了如何使多资产动量对动量投资者最有效。我们的研究表明,绝对动量和相对动量都能提高回报率,但绝对动量对减少波动性和下跌的作用要大得多。我们看到,把绝对动量和相对动量结合起来会得到最好的结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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