INVESTIGATING THE IMPACT OF DUAL MOMENTUM STRATEGIES ON GLOBAL ETF PORTFOLIO PERFORMANCE
Abstract:
Modern-day investors have a plethora of options to choose from when it comes to investing, asfinancial products are becoming increasingly available. While institutional investors have the required expertise to tackle the problem of data abundance and complexity, many retail investors need a simpler solution. One possibility is to use a market index ETF, in order to obtain exposure to market risk while retaining a significant degree of diversification in a cost-efficient manner. However, it might be possible to achieve better results on a risk-adjusted basis by using simple strategies. This study used a dual momentum investing approach for different global sector ETFs, including a "flight-to-safety" mechanism represented through the notion of risk-free assets. The results showed that the risk-adjusted performance of analyzed strategies that include the “flightto-safety” mechanism can be superior over passive index investing.
CITATION:
IEEE format
D. Pavlović, B. Korenak, N. Stakić, “Investigating the Impact of Dual Momentum Strategies on Global ETF Portfolio Performance,” in FINIZ 2024 - Social Media and Contemporary Business, Belgrade, Singidunum University, Serbia, 2024, pp. 3-7. doi: 10.15308/finiz-2024-3-7
APA format
Pavlović, D., Korenak, B., Stakić, N. (2024). Investigating the Impact of Dual Momentum Strategies on Global ETF Portfolio Performance. Paper presented at FINIZ 2024 - Social Media and Contemporary Business. doi:10.15308/finiz-2024-3-7
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