Please use this identifier to cite or link to this item: https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/14295
Title: Risk Premia Harvesting Through Dual Momentum
Authors: Gary Antonacci
Keywords: Dual momentum
Risk premium
Investment
Market alter.
Issue Date: 2017
Publisher: Journal of Management Entrepreneurship (JME)
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.
URI: http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/14295
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