Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Author:
Publisher
Elsevier BV
Reference28 articles.
1. Risk Premia Harvesting Through Momentum
2. Value and Momentum Everywhere;Clifford S Asness;Journal of Finance,2012
3. Improving Time-Series Momentum Strategies: The Role of Trading Signals and Volatility Estimators
4. A Model of Investor Sentiment;Nicholas Barberis;Journal of Financial Economics,1998
5. Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes;David C Blitz;Journal of Portfolio Management,2008
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3. Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA);SSRN Electronic Journal;2018
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