Learning From Dorsey Wright's "Relative Strength and Portfolio Management" Relative strength strategies perform well over a 3 to 12 month formation (lookback) period. 01 March, 2012 / 0 Comments
Learning From "Time Series Momentum" There is strong positive predictability from a security’s own past returns for almost five dozen diverse futures and forward contracts that include country equity indexes, currencies, commodities and sovereign bonds over more than 25 years of data. 01 February, 2012 / 0 Comments
Learning From Auspice Capital's "The CTA VAI (Value Added Index)" Managed Futures funds consistently add value over the long term including during financial crisis periods. 01 January, 2012 / 0 Comments