Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

NOTES

PREFACE

       1. “Why Buy and Hold Doesn’t Work Anymore,” Money Magazine, March 2012.

       2. Fama and French (2008).

CHAPTER 1

       1. For more than you could ever want to know about the first index mutual fund, see John Bogle’s write-up at http://www.vanguard.com/bogle_site/lib/sp19970401.html.

       2. Unsustainable growth rates assumptions, such as those occurring in bubbles, challenge rational expectations that underlie the efficient market hypothesis.

       3. In Bachelier’s work, we find the Chapman-Kolmogorov-Smoluchowski equation for continuous stochastic processes, derivation of the Einstein-Wiener Brownian motion process, and recognition that this process is a solution for the partial differential equation for heat diffusion. ...