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

For more than 80 years since 1903, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade.

01 October, 2012 / 0 Comments

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 / 0 Comments

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

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 / 0 Comments

Learning From "Do Foreign Exchange Markets Still Trend"

The paper suggests that the era of easy profits from simple trend following in major currencies is over.

01 January, 2010 / 0 Comments

Learning From Trendstat's "The Driving Force Behind Profits in the Managed Futures Industry"

Absolute momentum strategies benefit from large moves in markets.

01 January, 2010 / 0 Comments

Learning From "The Original Turtle Trading Rules"

Details the complete turtle trading system.

01 January, 2010 / 0 Comments

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