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dual-momentum's Introduction

Dual Momentum

What is dual-momentum?

The dual momentum strategy is a method of investing that selects only assets that have outperformed their peers over a given time and also making positive returns. It is based on the idea that an asset with a superior relative momentum and a positive absolute momentum would continue to perform until another outperforms it. Thus, it is a sort of trend strategy.

My choice

finance name description
0050.TW The index tracked is the Taiwan 50 Index
SHY track the investment results of the ICE® U.S. Treasury 1-3 Year Bond Index

Backtesting

initial asset = 1000

Period asset(dual-momentum) asset(0050.TW only) asset(SHY only)
2008-2021 3344.73 2449.72 1022.83
2009-2021 3576.04 4301.09 1017.60

image

Conculsion

This strategy is a effective way in order to aganist the finacial crisis

dual-momentum's People

Contributors

haowoo0112 avatar

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