Learning From Newfound Research's "Momentum and Diversification"
The paper outlines a framework for combining Momentum and Diversification across a spectrum of static asset allocation portfolios.
01 April, 2015
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Learning From PIMCO’s “Carry and Trend in Lots of Places”
Combining positive absolute momentum and positive carry produces significant positive risk adjusted returns across major asset classes and across different interest rate cycles.
01 April, 2015
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Learning From Wellington's "Trend-following momentum investing"
Both relative and absolute momentum is important when choosing stocks. Stock should rank well relative to other stocks and also has positive price trend.
01 April, 2015
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Factor Investing
Key takeaways from luncheon on Factor Investing For Institutional Investors:
05 March, 2015
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Learning From "Profitable Momentum Trading Strategies for Individual Investors"
After factoring in transaction costs and risks, the highest returns and monthly alphas are obtained by buying the top five to eight of the top performing stocks of the previous six-month holding period.
01 March, 2015
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Learning From Campbell’s “Return Dispersion, Counterintuitive Correlation”
Correlation among CTAs is generally high but this correlation becomes weaker when there are opportunities to capture momentum premiums. The dispersion in performance widens when correlation breaks down.
01 March, 2015
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Learning From Driehaus Capital's "Momentum Investing in US Smaller Cap Equities"
Combining fundamental and technical momentum for stock selection.
01 February, 2015
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Learning From Asiya Investments' "Momentum investing in Asia"
Relative Momentum effect on both price and earnings is evident in Asia stocks.
01 January, 2015
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Learning From Deutsche's "Momentum investing with Sector ETFs"
Relative Momentum applied on sector ETFs delivered higher risk adjusted return as compared to market cap weighted global stock indices.
01 December, 2014
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Learning From IMC's "The MOM-TOM Effect: Detecting The Market Impact Of CTA Trading"
To test for crowding effects of Absolute Momentum strategies employed by CTAs, the author explored and found significant returns for Absolute Momentum strategies during "turn of the month" days. The hypothesis is that during such days, CTAs would have to trade up their positions to put their new inflows to work in markets, temporarily pushing prices in their favour.
01 November, 2014
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