The journal
Asset Allocation
Momentum Investing
A long ‘work-in-progress’ post on Momentum Investing.
Learning From Gary Antonacci's "Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay"
Absolute Momentum asset allocation approach improves risk-adjusted returns and significantly reduces drawdowns.
Learning From Mebane Faber's "A Quantitative Approach to Tactical Asset Allocation"
Quantitative market timing utilising a 10-month moving average approach reduces portfolio risk significantly.