hellojayng.com |

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

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

Learning From Longboard's "Does Trend Following Work On Stocks?"

Trend following can work well on stocks. Buying stocks at new all time highs and exiting them after they’ve fallen below an ATR trailing stop would have yielded a significant return on average.

01 January, 2014 / 0 Comments

Learning From 1741's "CTAs – Which Trend Is Your Friend?"

No single approach of trend measurement method can systematically deliver better results across all dimensions. To determine which method is appropriate, various aspects need to be considered. These include length of measured trend, the way signal is compared and conversion of signal into position.

01 December, 2013 / 0 Comments

Learning From Research Affiliates' "Hot Potato: Momentum as an Investment Strategy"

Relative Momentum is a viable complementary investment strategy to a traditional portfolio.

01 October, 2013 / 0 Comments

Learning From Kaminski & Lo's "When Do Stop-Loss Rules Stop Losses"

If markets follow the Random Walk Hypothesis, stop loss rules has no value. If markets exhibit momentum effects, research shows that stop loss rules can improve returns and reduce risk.

01 July, 2013 / 0 Comments

1
2
3
4
5
6