Learning From Kathryn Kaminski's "In Search of Crisis Alpha" Crisis alpha delivered by momentum practitioners will be an excellent diversification during tail risk events for traditional portfolios. 01 May, 2011 / 0 Comments
Learning From AQR's "Trading on Trends" The paper listed various time-series momentum signals which basically go long when prices move up and short when prices move down. 01 January, 2011 / 0 Comments
Learning From Transtrend's "Potential Profitability for Trend Following Systems" The paper describes a backward looking measure, "trendpot", which indicates whether a medium to long term trend following system would potentially have been profitable when applied to that particular market during the preceding month. 01 December, 2010 / 0 Comments