Taming momentum crashes through triple momentum investing

Absolute, relative, and dual momentum strategies generate significant payoffs in the Indian stock market. However, these payoffs are subjected to severe periodic losses. The present study finds that these losses are predictable and these losses occur when market rebounds after enormous losses. Further, the authors propose an alternative momentum framework, that is, Triple momentum approach to avoid these momentum crashes. Triple momentum strategy not only doubles the Adjusted Sharpe ratio of dual momentum strategy, but also results in significant improvements in higher-order moments and downside risks.