Intrinsic Momentum Across Asset Classes
April 12, 2013 - Momentum Investing, Strategic Allocation
Is intrinsic (time series) momentum effective in managing risk across asset classes? In his April 2013 paper entitled “Absolute Momentum: a Simple Rule-Based Strategy and Universal Trend-Following Overlay”, Gary Antonacci examines an intrinsic (absolute or time-series) momentum strategy that each month holds a risky asset (U.S. Treasury bills) when the return on the risky asset… Keep Reading