The dual momentum strategy is a method of investing that selects only assets that have outperformed their peers over a given time and also making positive returns. It is based on the idea that an asset with a superior relative momentum and a positive absolute momentum would continue to perform until another outperforms it. Thus, it is a sort of trend strategy.
| finance name | description |
|---|---|
| 0050.TW | The index tracked is the Taiwan 50 Index |
| SHY | track the investment results of the ICE® U.S. Treasury 1-3 Year Bond Index |
initial asset = 1000
| Period | asset(dual-momentum) | asset(0050.TW only) | asset(SHY only) |
|---|---|---|---|
| 2008-2021 | 3344.73 | 2449.72 | 1022.83 |
| 2009-2021 | 3576.04 | 4301.09 | 1017.60 |
This strategy is a effective way in order to aganist the finacial crisis