Cross-Market Momentum Follow Up

Kudos to CXO who summarized the paper “Class OutPerformance (COP) Strategy”.

The author studied the effects of 1 year rolling cross-market momentum strategy updated monthly with 50 asset classes. Similar to my findings, the portfolio consisting of the top 20% of the asset classes outperformed the S&P500 with less risk.

You can read the paper here.

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