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Dual Momentum Investing Is Released Today
Today is the official release day of Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. I wrote the book to help as many people as possible earn attractive returns and...
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Individual Stock Momentum - That Dog Won't Hunt
Dead or dying academic ideas latched on to by unwary institutional investors litter the investment graveyard landscape. My new book, Dual Momentum Investing: An Innovative Strategy for Higher Returns...
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Diversification or Deworsification?
Most of us learned long ago that diversification is a good thing. In fact, it is often called the closest thing to a “free lunch” in the world of investing. This is because when used wisely,...
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Dual Momentum Fixed Income
Momentum is most commonly applied to stocks. But it works just as well, if not better, when applied to bonds. Our Dual Momentum Fixed Income model switches monthly between the strongest one of the...
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Absolute Momentum Revisited
Trend following based absolute momentum, also known as time-series momentum, is the Rodney Dangerfield of investing. It “don’t get no respect.” Absolute momentum is little known and hardly used by...
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And the Winner Is...
Until recently, the longest back test using stock market data was Geczy and Samonov’s 2012 study of relative strength momentum called “212 Years of Price Momentum: The World’s Longest Backtest:...
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Do the Right Thing
I used to always cut fruits and vegies in the wrong directions. I finally got around this problem by turning them in the opposite direction to the way I initially wanted to cut them. Similarly, many...
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Sustainable Momentum Investing: Doing Well By Doing Good
Socially Responsible Investing (SRI), also known as sustainable or responsible investing, is the application of ethical as well as financial considerations in making investment decisions. SRI therefore...
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Understanding Dual, Relative, and Absolute Momentum
Years ago when I first started studying momentum, two things stood out in my mind. The first was most momentum research focused on cross-sectional stock studies looking at the future performance of...
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Dual Momentum for non-US Investors
Gogi Grewal is an engineer and astute analyst who has been following my work for a number of years. He has an excellent grasp of dual momentum. Since Gogi lives in Canada, he decided to research...
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Momentum and Stop Losses
Stop losses are a form of trend following in which you switch from risky assets, such as stocks, to a risk-free or fixed income asset after there are pre-determined cumulative losses. The random walk...
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Momentum Due Diligence
Sometimes I get asked how well momentum has done the past year or the past several years. If I am in a snarky mood that day, I’ll respond, “What will that tell you?” The truth of the matter is that, in...
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Value and Momentum are Correlated
One of the most popular research papers on momentum is “Value and Momentum Everywhere” by Asness, Moskowitz, and Pedersen. In June 2013, this was published in the prestigious Journal of Finance. I have...
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Back to Fundamentals
After winning two consecutive national championships, the Green Bay Packers lost a game due to sloppy play. Coach Lombardi called a meeting the very next day to get his team back to fundamentals. When...
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Understanding Dual, Relative, and Absolute Momentum
Years ago when I first started studying momentum, two things stood out in my mind. The first was most momentum research focused on cross-sectional stock studies looking at the future performance of...
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Momentum Back Testing
In 1937, Cowles and Jones published the first study showing that relative strength price momentum leads to abnormally high future returns. These findings are just as valid today as they were 75 years...
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CAPE Crusaders?
In their newest paper, "On the Performance of Cyclically Adjusted Performance Measures," Gray and Vogel challenge the popular belief that the Schiller P/E or Cyclically Adjusted Price Earnings (CAPE)...
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Momentum...the Only Practical Anomaly?
Interest in momentum is growing as it gains recognition as the premier market anomaly. Our purpose here is not to report on every item or research finding related to momentum. We prefer instead to...
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Momentum Hierarchy
The chart below shows how dual momentum, absolute momentum, and relative momentum stack up against one another with our Dual Momentum Sector Rotation model. (No allowance has been made for transaction...
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Introducing Global Equities Momentum
I feature Global Equities Momentum (GEM) in my forthcoming book, so it is time to introduce it on our website. GEM is a simple but powerful model that switches between the S&P 500 Index, the MSCI...
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