Research Papers

Research by Gary Antonacci showing dual and absolute momentum with multi-asset portfolios

Risk Premia Harvesting Through Dual Momentum

First place winning paper of the 2012 NAAIM Founders Awards for Advances in Active Investment Management.

Absolute Momentum

A simple rules-based strategy and universal trend-following overlay demonstrating the versatility of absolute momentum.

These papers illustrate momentum principles and not meant to represent investable portfolios. The portfolios in these papers are sub-optimal. 

See the Performance page of this website for our publicly available investment models.