Slow Down or Speed Up SACEMS with Volatility?
September 19, 2017 - Momentum Investing, Strategic Allocation
A subscriber, noting an article on slowing down intrinsic (absolute or time series) momentum for SPDR S&P 500 (SPY) when its return volatility is relatively high, suggested doing the same for the Simple Asset Class ETF Momentum Strategy (SACEMS). The hypothesis is that this dynamic lookback interval approach avoids undesirable whipsaws when asset returns are… Keep Reading