TY - JOUR T1 - Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations JF - The Journal of Portfolio Management DO - 10.3905/jpm.2022.1.336 SP - jpm.2022.1.336 AU - Seokkeun Ha AU - Frank J. Fabozzi Y1 - 2022/02/08 UR - https://pm-research.com/content/early/2022/02/08/jpm.2022.1.336.abstract N2 - This article finds that the dual momentum strategy at the asset allocation level outperforms the benchmark for a historical simulation, with the limitation that the statistical significance of outperformance is not strong in all formation periods. However, this strategy in the Monte Carlo simulation delivers weaker performance than the historical simulation. The dual momentum strategy can be overlaid to traditional target date funds because it can capture the time-varying nature of the equity risk premium and secure downside protection. ER -