Looking for synergy with momentum in main asset classes

Abstract

As during turbulent market conditions correlations between main asset-classes falter, classical asset management concepts seem unreliable. This problem stimulates search for non-discretionary asset allocation methods. The aim of the paper is to test weather the concept of Momentum phenomena could be used as a stand alone investment strategy using all main asset classes. The study is based on exploring historical prices of various asset classes; statistical data analysis method is used. Results of the current study reveal that, in comparison to passive portfolio, Momentum method can significantly increase compounded annual growth rates and, in most cases, to achieve this result with better risk/return ratios.