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- Title
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations.
- Authors
Ha, Seokkeun; Fabozzi, Frank J.
- Abstract
This article finds that the dual momentum strategy at the asset allocation level outperforms the benchmark for a historical simulation, with the limitation that the statistical significance of outperformance is not strong in all formation periods. However, this strategy in the Monte Carlo simulation delivers weaker performance than the historical simulation. The dual momentum strategy can be overlaid to traditional target date funds because it can capture the time-varying nature of the equity risk premium and secure downside protection.
- Subjects
HISTORICAL simulation (Economics); ASSET allocation
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 4, p282
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.2022.1.336