Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

PREFACE

        Profit in the share market is goblin treasure; at one moment, it is carbuncles, the next it is coal; one moment diamonds, and the next pebbles. Sometimes they are the tears that Aurora leaves on the sweet morning’s grass; at other times, they are just tears.

—José de la Vega, Confusion of Confusions, 1688

ACCORDING TO THE RESPECTED MIT financial economist Andrew Lo (2012), “Buy and hold doesn’t work anymore. The volatility is too significant. Almost any asset can suddenly become much more risky.”¹ Even Warren Buffett’s Berkshire Hathaway, Inc. lost nearly 50% of its market value on two separate occasions since 1998.

Mohamed El-Erian, former head of PIMCO, said, “Diversification alone is no longer sufficient to temper risk. You ...