Another Howard Marks’ Memo – Risk Revisited
11 June, 2015
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Diversification Is Misguided Concept?
15 April, 2015
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Stanley Druckenmiller Pearls of Investing Wisdom
14 April, 2015
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Learning From Newfound Research's "Momentum and Diversification"
The paper outlines a framework for combining Momentum and Diversification across a spectrum of static asset allocation portfolios.
01 April, 2015
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Learning From PIMCO’s “Carry and Trend in Lots of Places”
Combining positive absolute momentum and positive carry produces significant positive risk adjusted returns across major asset classes and across different interest rate cycles.
01 April, 2015
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Learning From Wellington's "Trend-following momentum investing"
Both relative and absolute momentum is important when choosing stocks. Stock should rank well relative to other stocks and also has positive price trend.
01 April, 2015
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Factor Investing
Key takeaways from luncheon on Factor Investing For Institutional Investors:
05 March, 2015
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Learning From "Profitable Momentum Trading Strategies for Individual Investors"
After factoring in transaction costs and risks, the highest returns and monthly alphas are obtained by buying the top five to eight of the top performing stocks of the previous six-month holding period.
01 March, 2015
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Learning From Campbell’s “Return Dispersion, Counterintuitive Correlation”
Correlation among CTAs is generally high but this correlation becomes weaker when there are opportunities to capture momentum premiums. The dispersion in performance widens when correlation breaks down.
01 March, 2015
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