The value of multiple momentum signals

Despite the abundant academic literature evidencing a Momentum effect both in equity and fixed income markets, this factor is often treated with caution. Challenges associated with the practical implementation of Momentum strategies, such as market reversal risk, for example, can seriously damage performance and frequently deter investors. However, focusing on the idiosyncratic Momentum – based on each security’s abnormal returns – helps avoid these pitfalls.

Origen: The value of multiple momentum signals

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