Momentum

Basically, a momentum strategy is a strategy that takes advantage of the fact that a certain asset that is moving up tends to move up for a long time, and when it breaks down, it becomes bearish for a while. In addition, asset prices in the capital market are the result of the decisions of a large number of investors. Therefore, rather than trying to predict the direction of the market, the strategy is to follow the direction when it indicates a direction and react to it technically.

Absolute Momentum

Selecting assets with a positive absolute return over the period, or whose current price is above the moving average line.

Relative Momentum

An approach to investment selection based on the relative performance ranking of investments in the universe. - How many or more to select: Determines how many assets in the investment universe to invest in.

Absolute Momentum + Defensive Switch

First, determine the weight of the candidate assets. However, if the result of the criteria is negative, switch to a defensive asset (e.g. 3 candidate assets equally weighted, if 1 asset has a negative absolute momentum, buy 33% of the 3 assets, and buy 33% of the defensive asset).

Relative & Absolute Momentum (Dual Momentum)

Firstly, select a group of candidate assets based on their relative momentum, then exclude the assets with negative absolute momentum and construct 100% of the portfolio with the remaining assets (e.g., determine equal weighting and select the top 2 relative momentum among the 3 candidate assets, and when one of them has negative absolute momentum, finally buy 100% of the asset with positive absolute momentum).

Relative & Absolute Momentum + Defensive Switch

First, determine the weight of the candidate assets. However, if the result of the criteria is negative, the asset is switched to a defensive asset (e.g., out of 5 candidate assets, 3 relative momentum-advantaged assets are equally weighted, and when the absolute momentum of 1 asset is negative, 3 assets are bought 33%, and the remaining 1 asset is bought 33%).