I've completed a rewrite and expansion of my last momentum paper. It has more information on absolute momentum and more emphasis on the benefits of dual momentum. I also gave it a new title: Risk Premia Harvesting Through Dual Momentum. You can download it now from SSRN by clicking here. I hope to have a new research paper on absolute momentum out soon.
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Years ago when I first started studying momentum, two things stood out in my mind. The first was most momentum research focused on cross-se...