Learning From Quest Partners' "Know Your Skew" Momentum strategies, with frequent small gains and losses and occasional large gains, are inherently positively skewed. 01 August, 2011 / 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 Mebane Faber's "Relative Strength Strategies for Investing" The paper explores Relative Momentum strategy on Equities Sectors. 01 June, 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 "Using Style Index Momentum to Generate Alpha" Relative Momentum applied on Style Indexes delivered positive results. 01 January, 2010 / 0 Comments
Learning From AQR's "The Case for Momentum Investing" Relative Momentum is a persistent anomaly and complements a value-focused portfolio. 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