A subscriber suggested an alternative to the “Simple Asset Class ETF Momentum Strategy” that weights asset class ETFs according to five-month past return ranking (such as 35-25-20-10-4-3-2-1) rather than allocating all funds to the winner. Do the diversification benefits...
We have updated the detail at “Momentum Strategy” to incorporate the historical data changes described in “Simple Asset Class ETF Momentum Strategy Data Changes”. The principal effects are to decrease the performance of the Top 1 portfolio...
In reaction to “10-month Versus 40-week Versus 200-day SMA”, a reader inquired whether using measurement intervals of longer than a month to calculate simple moving averages (SMA) would suppress trading compared to monthly intervals and thereby...
Do returns for segments of the normal U.S. stock market trading day (9:30 AM to 4:00 PM Eastern time) exhibit exploitable interactions? In the May 2014 version of their paper entitled “Intraday Momentum: The First...
Do individuals who actively reallocate funds within their pension accounts outperform passive counterparts? In the March 2014 update of their paper entitled “Individual Investor Activity and Performance”, Magnus Dahlquist, Jose Vicente Martinez and Paul Soderlind examine...
Does the return to momentum investing reliably reflect a reward for taking some risk? In the March 2014 version of her paper entitled “Asymmetric Risks of Momentum Strategies”, Victoria Dobrynskaya examines the performance of past winner and loser...
Is relative momentum an effective way to switch between stocks and bonds? In his May 2014 paper entitled “Simple and Effective Market Timing with Tactical Asset Allocation”, Lewis Glenn compares the performances of two tactical asset...
Do relative momentum and trend filters operate differently on value and growth stocks? In their May 2014 paper entitled “When Growth Beats Value: Removing Tail Risk from Global Equity Momentum Strategies”, Andrew Clare, James Seaton, Peter...
In checking data for the monthly update of “Simple Asset Class ETF Momentum Strategy” (SACEMS), we discovered changes in historical dividend/split-adjusted prices for the following strategy components: iShares MSCI Emerging Markets Index (EEM) iShares MSCI EAFE...
What about all those criticisms of momentum investing (such as high turnover/trading frictions and crash-proneness)? In the May 2014 draft of their paper entitled “Fact, Fiction and Momentum Investing”, Clifford Asness, Andrea Frazzini, Ronen Israel and...
Does the Sell-in-May/Halloween effect hold in recent data? In their April 2014 paper entitled “Sell in May and Go Away: Still Good Advice for Investors?”, Hubert Dichtl and Wolfgang Drobetz explore whether holding one of several stock indexes (cash)...
Are investors exhausting the potential of stocks? In his May 2014 presentation packages entitled “Has The Stock Market Been ‘Overgrazed’?” and “Momentum Has Not Been ‘Overgrazed'”, Claude Erb investigates the proposition that sanguine research and ever easier...
Does technical analysis boost or depress performance for individual investors? In their February 2014 paper entitled “Technical Analysis and Individual Investors”, Arvid Hoffmann and Hersh Shefrin combine actual trading histories and results of a survey to investigate the...
Does the relative performance of 10-year U.S. Treasuries and 30-year U.S. Treasuries offer a useful risk-on/risk-off regime change signal? In their February 2014 paper entitled “An Intermarket Approach to Tactical Risk Rotation Using the Signaling Power of...
Is is feasible to exploit stock price deviation from a purely statistical estimate of equilibrium? In his February 2014 paper entitled “Back to Black” (the National Association of Active Investment Managers’ 2014 Wagner Award second place winner), Arthur Grabovsky investigates exploitation...
Is there a practical way to mitigating data snooping bias while exploring optimal parameter values? In his February 2014 paper entitled “Know Your System! – Turning Data Mining from Bias to Benefit through System Parameter Permutation” (the National Association of Active Investment...
Research (see “Asset Growth Rate as a Return Indicator” and “Asset Growth a Bad Sign for Stocks Everywhere?”) indicates that stocks of firms with high asset growth rates tend subsequently to underperform the market. Does...
What factors make asset class diversification work? To investigate empirically, we consider the following mix of exchange-traded funds (ETF) as asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index...
In the introduction to his 2014 book entitled Global Value: How to Spot Bubbles, Avoid Market Crashes, and Earn Big Returns in the Stock Market, author Mebane Faber, ponders: “Can we or can’t we predict when a bubble...
How sensitive in a recent sample are outcomes from simple trend following rules to the length of the measurement interval used to detect a trend. To investigate, we consider two simple types of trend following rules...
Can traders extract an edge from sentiments expressed about stocks via public Internet message boards? In the March 2014 draft of their paper entitled “Investor Sentiment from Internet Message Postings and Predictability of Stock Returns”, Soon-Ho Kim and Dongcheol...
Is past performance a useful indicator of future performance for some kinds of mutual funds? In their April 2014 paper entitled “Differences in Short-Term Performance Persistence by Mutual Fund Equity Class”, Larry Detzel and Andrew Detzel evaluate performance...
Do prices exhibit persistently exploitable trends across asset classes all the time? In their April 2014 paper entitled “Two Centuries of Trend Following”, Y. Lemperiere, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud examine risk-adjusted...
Does the reward for taking the risk of holding stocks exhibit any long-term trend? In his April 2014 presentation package entitled “The Incredible Shrinking ‘Realized’ Equity Risk Premium”, Claude Erb examines the trend in the...
Are simple moving averages (SMA) effective in generating signals for short-term currency trading? In the April 2014 draft of his paper entitled “ANANTA: A Systematic Quantitative FX Trading Strategy”, Nicolas Georges investigates the effectiveness of...