PT  - JOURNAL ARTICLE
AU  - Seokkeun Ha
AU  - Frank J. Fabozzi
TI  - Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations
AID  - 10.3905/jpm.2022.1.336
DP  - 2022 Feb 28
TA  - The Journal of Portfolio Management
PG  - 282--301
VI  - 48
IP  - 4
4099  - https://pm-research.com/content/48/4/282.short
4100  - https://pm-research.com/content/48/4/282.full
AB  - 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.