This is a test of Gary Antonacci’s “Composite Dual Momentum” strategy from his seminal paper: Risk Premia Harvesting Through Dual Momentum. The model uses Antonacci’s unique approach to measuring momentum, which considers both absolute (aka time-series) and relative (aka cross-sectional) momentum, to trade a much larger basket of asset classes than his more well-known GEM strategy. Results from […]
Källa: Antonacci’s Composite Dual Momentum – AllocateSmartly