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Learning From AQR's "A Century of Evidence on Trend-Following Investing Fall 2014 Update"

For more than 100 years since 1880, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade. This is an update to the original Fall 2012 paper due to availability of additional historical data which allowed AQR to extend the research to 1880 and increase the number of assets from 59 to 67.

01 October, 2014 / 0 Comments

Learning From Quest Partners' "Hedge Fund Index Replication"

The paper proposed a futures based replicator for the Credit Suisse Hedge Fund Index. Timing the individual four factors used in the replicator improved risk adjusted returns.

01 October, 2014 / 0 Comments

Learning From PIMCO's "Trend-Following Through the Rates Cycle"

Absolute Momentum strategies have the potential to generate positive returns across all interest rate environments, including a rising interest rate environment.

01 October, 2014 / 0 Comments

Learning From Capital Fund Management's "Two Centuries of Trend Following"

Trend following effects have been very stable and consistent across four asset classes (commodities, currencies, stock indexes and bonds) over the last two centuries.

01 July, 2014 / 0 Comments

Learning From AQR's "Fact, Fiction and Momentum Investing"

10 common myths about Relative Momentum investing are addressed.

01 July, 2014 / 0 Comments

Learning From Gary Antonacci's "Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay"

Absolute Momentum asset allocation approach improves risk-adjusted returns and significantly reduces drawdowns.

01 June, 2014 / 0 Comments

Learning From PowerShares' "Smart Beta Momentum Investing"

The paper explores when Relative Momentum investing works best and when it underperforms. Relative Momentum can be applied in a variety of ways.

01 April, 2014 / 0 Comments

Valuation, Price Trends and Volatility To Guide Asset Allocations

There are 3 important factors to guide my views on asset class allocations and to sniff out some opportunities in global markets.

These 3 factors are Valuation, Volatility and Price Trends. Valuation is a good indicator of long-term returns while Price Trend is helpful for guiding my short-term view (of less than 1 year). Low volatility is a helpful indicator for above average risk-adjusted returns over the long term.

04 March, 2014 / 0 Comments

Learning From Pension Partners' "An Intermarket Approach to Beta Rotation"

Rotating between the broad market and Utilities sector based on Relative Strength improves performance.

01 March, 2014 / 0 Comments

Learning From Modus Quantitative Advisors' "The Significance of Trading Frequency and Stop Loss in Trend Following Strategies"

Trading higher frequency shows no significant benefits. Stop loss rules improve maximum drawdowns.

01 January, 2014 / 0 Comments