Combine Momentum with Low Volatility?
October 7, 2009 - Momentum Investing
Best guess is that combining low volatility with high momentum might offer an edge…
October 7, 2009 - Momentum Investing
Best guess is that combining low volatility with high momentum might offer an edge…
September 29, 2009 - Economic Indicators
…allocating funds to stocks and Treasuries according to the relationships between their past returns and these three off-the-beaten-path macroeconomic indicators may produce market-beating results.
September 28, 2009 - Individual Investing
The notion that individuals are at a disadvantage compared to big traders in constructing and maintaining a diversified portfolio of specific stocks seems reasonable.
September 27, 2009 - Equity Options
For the strike-rolling process you describe to enhance returns over the long run, the incrementally accrued time value must more than offset the combined effects of: (1) the incremental trading frictions (principally bid-ask spreads); and, (2) the increased risk of in-the-money expirations.
September 26, 2009 - Equity Options, Short Selling
The net of this research appears to be that only very low-cost traders (such as market makers) can effectively exploit the anomaly.
September 25, 2009 - Technical Trading
It seems reasonable to infer from this analysis that many people “renting” automated trading strategies do not do very well and that they may underperform the broad stock market as a group.
September 24, 2009 - Equity Options
IRS rules involving wash sales and options as described in Publication 550 (2008) are complicated.
September 24, 2009 - Momentum Investing, Value Premium, Volatility Effects
…value-beta and momentum-beta relationships can and recently have reached such extremes that value and momentum strategies may impound untended assumptions about the future market trend.
September 23, 2009 - Momentum Investing, Real Estate, Value Premium
CXOadvisory.com has not developed any screens or models to implement or replicate this approach.
September 22, 2009 - Equity Options
Results suggest that the TOTM return is roughly zero in falling markets, so it can still support options selling (but with no safety margin for at-the-money options). Based on this result, selling options only when above the 200-day SMA would likely reduce risk but result in long intervals of inactivity.