Risk Premia Harvesting Through Dual Momentum

Abstract

Momentum is the premier market anomaly which is nearly universal in its applicability. This article examines multi-asset momentum and its impact on the investors by considering price volatility as a value-adding factor. It shows that though absolute and relative momentum can enhance returns independently; the former is observed to be more effective in decreasing volatility and draw-down. The study also reveals that combination of absolute and relative momentum leads to better results.