Simplicity is the ultimate sophistication.
—Leonardo da Vinci
WE SAW IN THE LAST chapter how dual momentum gives us higher expected returns with lower expected risk. Chapters 5 and 6 looked at other investment approaches and reinforced why dual momentum is what we should focus on. We saw, in particular, that the propensity to overdiversify is counterproductive to those who understand and are smart enough to implement dual momentum strategies. What we want to look at now are some possible ways to enhance dual momentum and some additional ways we might use it.
Dual momentum is simple and direct, based as it is on straightforward relative and absolute performance. Its only ...