RT Journal Article SR Electronic T1 Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations JF The Journal of Portfolio Management FD Institutional Investor Journals SP 282 OP 301 DO 10.3905/jpm.2022.1.336 VO 48 IS 4 A1 Seokkeun Ha A1 Frank J. Fabozzi YR 2022 UL https://pm-research.com/content/48/4/282.abstract 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.