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Learning From "Absolute Strength: Exploring Momentum in Stock Returns"

Stocks that have significantly increased in value in the recent past (absolute strength winners) continue to gain, and stocks that have significantly decreased in value (absolute strength losers) continue to lose in the near future. Absolute strength momentum does not expose investors to severe crashes during crisis periods, and its profits are remarkably consistent over time. We uncover similar results when we vary the sorting period for cumulative returns between 3 and 12 months.

23 February, 2016 / 0 Comments

Learning From AQR's "Good Strategies for Tough Times"

Composite of long/short premia, including Absolute and Relative Momentum performs well when Equities or Bonds perform poorly. Absolute Momentum is a good complement with Private Equity with negative correlation.

01 October, 2015 / 0 Comments

Learning From "The Trend is Your Friend"

Time-series momentum effect is significant across international equity and commodity markets but central bank actions in recent years have made the environment tougher.

01 August, 2015 / 0 Comments

Learning From AQR's "Which Trend is Your Friend?"

Most trend measurement methods are similar at a higher level and would produce similar results.

01 July, 2015 / 0 Comments

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 / 0 Comments

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 / 0 Comments

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 / 0 Comments

Learning From Driehaus Capital's "Momentum Investing in US Smaller Cap Equities"

Combining fundamental and technical momentum for stock selection.

01 February, 2015 / 0 Comments

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 / 0 Comments

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

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