The long run risk premium of bonds is substantially lower than the risk premium of stocks, so stocks are the investment vehicle of choice as long as their trend is positive. There are, however, investors who, for fiduciary or other reasons, need to keep a permanent allocation to bonds. For this reason, we also track our model that maintains 60% in stocks and 40% in bonds. We call this Global Balanced Momentum (GBM). (Formally, we called it the Global Balanced Momentum Index.) GBM applies dual momentum to both stocks and bonds. Please check out the models that are now on the Performance Page of our website.
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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...