Dashan Huang Portfolio - Twin Momentum

Last Updated: 7/16/2024

Dashan Huang Portfolio Strategy Explanation Video

Dashan Huang is an Assistant Professor of Finance at the Lee Kong Chian School of Business at Singapore Management University. His paper "Twin Momentum" looked at combining traditional price momentum with improving fundamentals to generate market outperformance. In the paper, he identified seven fundamental variables (earnings, return on equity, return on assets, accrual operating profitability to equity, cash operating profitability to assets, gross profit to assets and net payout ratio) that he combined into a single fundamental momentum measure. He showed that stocks in the top 20% of the universe according to that measure outperformed the market going forward. When he combined that measure with price momentum, he was able to double its outperformance.
*Note: Our guru strategies are based on our interpretation of the published strategies of the gurus we follow. They are not personally endorsed by the gurus. Full Disclaimer

Since 2008, this portfolio has returned 1,294.7%, outperforming the market by 751.3% using its optimal monthly rebalancing period and 10 stock portfolio size.

Get the Top Ten Rated Stocks From Our Dashan Huang Portfolio

Get Started
Twin Momentum
S&P 500
* Returns are model returns and do not reflect actual trading. Full performance disclaimer

Dashan Huang Portfolio - Twin Momentum Investor

Validea used the investment strategy outlined in the paper Twin Momentum written by Dashan Huang to create our Twin Momentum Investor portfolio.

This strategy looks for stocks with strong fundamental and price momentum. Fundamental momentum is determined using a combination of seven variables: earnings, return on equity, return on assets, accrual operating profitability to equity, cash operating profitability to assets, gross profit to assets and net payout ratio. Price momentum is determined using the most recent twelve month period excluding the latest month. When these two types of momentum were combined together, Huang found that the result was significant outperformance over the market.

Twin Momentum by Dashan Huang

Dashan Huang Portfolio Strategy Explainer

Dashan Huang Portfolio Podcast

Start Your Risk-Free Trial

Sign Up Today
Performance Disclaimer: Returns presented on Validea.com are model returns and do not represent actual trading. As a result, they do not incorporate any commissions or other trading costs or fees. Model portfolios with inception dates on or after 12/30/2005 include a combination of back tested and live model returns. The back-tested performance results shown are hypothetical and are not the result of real-time management of actual accounts. The back-testing of performance differs from actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue to be changed until desired or better performance results are achieved. Back-tested returns are presented to provide general information regarding how the underlying strategy behind the portfolio performed in our historical testing. A back-tested strategy has the benefit of hindsight and the results do not reflect the impact that material economic or market factors may have had on advisor's decision-making if actual client assets were being managed using this approach. The model portfolios offered on Validea are concentrated and as a result they will exhibit high levels of volatility and their performance can be substantially impacted by the performance of individual positions.

Optimal portfolios presented on Validea.com represent the rebalancing period that has led to the best historical performance for each of our equity models. Each optimal portfolio was determined after the fact with performance information that was not available at portfolio inception. As a result, an investor could not have invested in the optimal portfolio since its inception. Optimal portfolios are presented to allow investors to quickly determine the portfolio size and rebalancing period that has performed best for each of our models in our historical testing.

Both the model portfolio and benchmark returns presented for all equity portfolios on Validea.com are not inclusive of dividends. Returns for our ETF portfolios and trend following system, and the benchmarks they are compared to, are inclusive of dividends. The S&P 500 is presented as a benchmark because it is the most widely followed benchmark of the overall US market and is most often used by investors for return comparison purposes. As with any investment strategy, there is potential for profit as well as the possibility of loss and investors may incur a loss despite a past history of gains. Past performance does not guarantee future results. Results will vary with economic and market conditions.

Validea.com is a research provider that is owned and operated by The Reese Group, LLC. Validea.com offers model portfolios, screening and stock analysis that is not customized to any individual. No information on Validea.com should be construed as investment advice. Validea Capital Management is a separate investment advisory firm registered with the state of Connecticut. Validea Capital offers investment management services directly to clients and is a separate entity from The Reese Group, LLC. The Reese Group and Validea Capital are affiliated entities and share partial common ownership.