Melding Momentum, Diversification and Absolute Return
April 23, 2012 - Momentum Investing, Strategic Allocation
What is the safest way to exploit asset price momentum? In his April 2012 paper entitled “Risk Premia Harvesting Through Momentum” (the National Association of Active Investment Managers’ 2012 Wagner Award winner with different title), Gary Antonacci investigates systematic capture of upside volatility at the asset class level via a momentum/diversification/absolute return strategy that: Exploits momentum via long… Keep Reading