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].

blog figs

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

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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