1. Before the knee, return increases with B with nearly stable drawdown while after the knee, drawdown increases while returns are nearly stable. Also, the optimal breadth parameter B turns out to be the same for both VAA-G universes in both the in-sample and the out-of-sample periods, which demonstrates robustness. This all demonstrates some remarkable timing characteristic of our breath momentum approach for various regimes and universes. Against our expectations, it could be all just luck, but if not, future research should try to answer why. Why does this breath momentum work, what is the role of the universe used, is there a relationship with diversification and correlation between assets, and can we repeat the knee with other universes? Is breadth B constant or should we use some adaptive walk;Our four VAA strategies show a remarkable characteristic in our breadth momentum approach. This is the "knee" in the R/D space, going from low breadth B to higher values
2. Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
3. Risk Premia Harvesting Through Momentum
4. Antonacci, Robert J., and Barr, Jene.Baseball for young champions. New York (330 west 42nd street) : Whittlesey House, Mcgraw-Hill Book Company, 1956. 156 p. $2.75.
5. Fact, Fiction and Momentum Investing