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
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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
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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
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Learning From Gary Antonacci's "Optimal Momentum: A Global Cross Asset Approach"
Relative momentum can be used for adaptive asset allocation for better risk-adjusted returns.
01 December, 2011
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Learning From Quest Partners' "Know Your Skew"
Momentum strategies, with frequent small gains and losses and occasional large gains, are inherently positively skewed.
01 August, 2011
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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
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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
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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
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Learning From Quest Partners' "Black Box Trend Following – Lifting the Veil"
CTA performance can be broadly replicated with simple trend following strategies.
01 November, 2010
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Learning From Mebane Faber's "Relative Strength Strategies for Investing"
The paper explores Relative Momentum strategy on Equities Sectors.
01 June, 2010
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