Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations
研究发现双重动量策略在历史模拟中优于基准，但统计显著性不强；蒙特卡洛模拟表现较弱。该策略可叠加到传统目标日期基金中，以捕捉时变股权风险溢价并提供下行保护。
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.