The journal
Absolute Momentum
Learning From "Absolute Strength: Exploring Momentum in Stock Returns"
Stocks that have significantly increased in value in the recent past (absolute strength winners) continue to gain, and stocks that have significantly decreased in value (absolute…
Learning From AQR's "Good Strategies for Tough Times"
Composite of long/short premia, including Absolute and Relative Momentum performs well when Equities or Bonds perform poorly. Absolute Momentum is a good complement with Private…
Learning From "The Trend is Your Friend"
Time-series momentum effect is significant across international equity and commodity markets but central bank actions in recent years have made the environment tougher.
Learning From AQR's "Which Trend is Your Friend?"
Most trend measurement methods are similar at a higher level and would produce similar results.
Learning From PIMCO's "Carry and Trend in Lots of Places"
Combining positive absolute momentum and positive carry produces significant positive risk adjusted returns across major asset classes and across different interest rate…
Learning From Wellington's "Trend-following momentum investing"
Both relative and absolute momentum is important when choosing stocks. Stock should rank well relative to other stocks and also has positive price trend.
Learning From Campbell's "Return Dispersion, Counterintuitive Correlation"
Correlation among CTAs is generally high but this correlation becomes weaker when there are opportunities to capture momentum premiums. The dispersion in performance widens when…
Learning From Driehaus Capital's "Momentum Investing in US Smaller Cap Equities"
Combining fundamental and technical momentum for stock selection.
Learning From IMC's "The MOM-TOM Effect: Detecting The Market Impact Of CTA Trading"
To test for crowding effects of Absolute Momentum strategies employed by CTAs, the author explored and found significant returns for Absolute Momentum strategies during “turn of…
Learning From AQR's "A Century of Evidence on Trend-Following Investing Fall 2014 Update"
For more than 100 years since 1880, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade. This is…