Blog, Strategies

Market Pulse: Dual Momentum and the Risks

Posted by Erik Martin Hansén

On Fridays, Market Pulse focuses on rule-based strategies. We use systematic models based on data, objective signals and risk diversification.

Dual Momentum is one of the most talked about tactical investment strategies among private investors. The idea is elegant, the research is solid, and the backtesting looks impressive.

But there are three problems that most people never discover until they try to implement the strategy themselves.

We go over what Dual Momentum actually is, show our own backtest, and explain why results can vary dramatically depending on a single parameter.

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Posted by Erik Martin Hansén
After studying at Uppsala University, Erik Hansén has worked in the financial industry since 2007 at several brokerage firms and traded privately. In his role as an analyst, Erik has written highly regarded market letters.

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