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Learning From Driehaus Capital's "Momentum Investing in US Smaller Cap Equities"

Combining fundamental and technical momentum for stock selection.

01 February, 2015 / 0 Comments

Learning From Asiya Investments' "Momentum investing in Asia"

Relative Momentum effect on both price and earnings is evident in Asia stocks.

01 January, 2015 / 0 Comments

Learning From Deutsche's "Momentum investing with Sector ETFs"

Relative Momentum applied on sector ETFs delivered higher risk adjusted return as compared to market cap weighted global stock indices.

01 December, 2014 / 0 Comments

Learning From IMC's "The MOM-TOM Effect: Detecting The Market Impact Of CTA Trading"

To test for crowding effects of Absolute Momentum strategies employed by CTAs, the author explored and found significant returns for Absolute Momentum strategies during "turn of the month" days. The hypothesis is that during such days, CTAs would have to trade up their positions to put their new inflows to work in markets, temporarily pushing prices in their favour.

01 November, 2014 / 0 Comments

Learning From AQR's "A Century of Evidence on Trend-Following Investing Fall 2014 Update"

For more than 100 years since 1880, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade. This is an update to the original Fall 2012 paper due to availability of additional historical data which allowed AQR to extend the research to 1880 and increase the number of assets from 59 to 67.

01 October, 2014 / 0 Comments

Learning From Quest Partners' "Hedge Fund Index Replication"

The paper proposed a futures based replicator for the Credit Suisse Hedge Fund Index. Timing the individual four factors used in the replicator improved risk adjusted returns.

01 October, 2014 / 0 Comments

Learning From PIMCO's "Trend-Following Through the Rates Cycle"

Absolute Momentum strategies have the potential to generate positive returns across all interest rate environments, including a rising interest rate environment.

01 October, 2014 / 0 Comments

Learning From Capital Fund Management's "Two Centuries of Trend Following"

Trend following effects have been very stable and consistent across four asset classes (commodities, currencies, stock indexes and bonds) over the last two centuries.

01 July, 2014 / 0 Comments

Learning From AQR's "Fact, Fiction and Momentum Investing"

10 common myths about Relative Momentum investing are addressed.

01 July, 2014 / 0 Comments

Learning From Gary Antonacci's "Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay"

Absolute Momentum asset allocation approach improves risk-adjusted returns and significantly reduces drawdowns.

01 June, 2014 / 0 Comments