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 Equity with negative correlation.
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 an update to the original Fall 2012 paper due to availability of additional historical data which allowed AQR to extend the research to 1880 and increase the number of assets from 59 to 67.
There is strong positive predictability from a security’s own past returns for almost five dozen diverse futures and forward contracts that include country equity indexes, currencies, commodities and sovereign bonds over more than 25 years of data.