Momentum Investing: more research

Gary Antonacci (2012 NAAIM winner) publishes a momentum index monthly, which has averaged 15% annually since 1984.  [note however: bonds have been in a bull market throughout this period].

http://www.optimalmomentum.com/trackrecord2.html

blog figs

Macquarie has tested their adaptation of Antonacci’s momentum model:

http://www.macquarieprivatewealth.ca/dafiles/Internet/mgl/ca/en/advice/specialist/darwin/documents/bpg-adapt-or-fail.pdf

Each month, the strategy rotates into the 2 best performing funds over the previous 6 months.  Average annual returns since 2003 are above 20% (note these results are backtested).

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