Why Does Dual Momentum Outperform?
Those who have read my momentum research papers, book, and this blog should know that simple dual momentum has handily outperformed buy-and-hold. The following chart shows the 10- year rolling excess return of our popular Global Equities Momentum (GEM) dual momentum model compared to a 70/30 S&P 500/U.S. bond benchmark [1]. Results are hypothetical, are…