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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.
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Significance of Relative Momentum premium is confirmed inside and across asset classes for the last two centuries.
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The paper outlines a framework for combining Momentum and Diversification across a spectrum of static asset allocation portfolios.
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Both relative and absolute momentum is important when choosing stocks. Stock should rank well relative to other stocks and also has positive price trend.
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After factoring in transaction costs and risks, the highest returns and monthly alphas are obtained by buying the top five to eight of the top performing stocks of the previous six-month holding period.
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Relative Momentum effect on both price and earnings is evident in Asia stocks.
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Relative Momentum applied on sector ETFs delivered higher risk adjusted return as compared to market cap weighted global stock indices.
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10 common myths about Relative Momentum investing are addressed.
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The paper explores when Relative Momentum investing works best and when it underperforms. Relative Momentum can be applied in a variety of ways.
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Rotating between the broad market and Utilities sector based on Relative Strength improves performance.
