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Momentum On Dual Momentum Portfolios

By: Marco Simioni

In the first section, this article describes a Dual Momentum study over an iShares country etfs basket with a new attempt to improve this well-known investing style. I chose iShares because it is the world largest family of Exchange Traded Funds (ETFs) from BlackRock. Although different stock markets correlations have become weaker and weaker in these last 10 years, this article easily shows that countries diversification is still feasible.

In the second part, I briefly recall another Dual Momentum Portfolio, the Famous 5 Portfolio, and apply to momentum concept to the two portfolios. This results in a new comprehensive strategy that rotate monthly from Countries Portfolio to the Famous 5 Portfolio or viceversa.

My backtest, highlight that momentum persists not only through single different assets (etfs) but through portfolios as well.

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