April 9, 2013

My New Research Paper on Absolute Momentum

My newest research paper is now available. It is "Absolute Momentum: A Simple Rule- Based Strategy and Universal Trend-Following Overlay". In it, I show how to use absolute momentum to add value to single asset investments or a 60-40 portfolio by reducing expected volatility and drawdown. I also show how to construct a simple momentum-based parity type portfolio without many of the drawbacks associated with traditional risk parity programs. 

There are other potential uses for absolute momentum as the foundation for a core portfolio or as an overlay for most any portfolio. Absolute momentum is easy to understand and simple to implement. 

My paper last year was to illustrate principles of dual momentum. The Global Balanced Momentum Index (GBMI) on our website illustrates that approach applied to a realistic investment portfolio. Similarly, I now have a Risk Parity Momentum Composite (RPMC) that tracks a proprietary model portfolio of asset class indices based largely on the absolute momentum principles in my new paper.