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Learning From Pension Partners' "An Intermarket Approach to Beta Rotation"

Rotating between the broad market and Utilities sector based on Relative Strength improves performance.

01 March, 2014 / 0 Comments

Learning From Modus Quantitative Advisors' "The Significance of Trading Frequency and Stop Loss in Trend Following Strategies"

Trading higher frequency shows no significant benefits. Stop loss rules improve maximum drawdowns.

01 January, 2014 / 0 Comments

Learning From Longboard's "Does Trend Following Work On Stocks?"

Trend following can work well on stocks. Buying stocks at new all time highs and exiting them after they’ve fallen below an ATR trailing stop would have yielded a significant return on average.

01 January, 2014 / 0 Comments

Learning From 1741's "CTAs – Which Trend Is Your Friend?"

No single approach of trend measurement method can systematically deliver better results across all dimensions. To determine which method is appropriate, various aspects need to be considered. These include length of measured trend, the way signal is compared and conversion of signal into position.

01 December, 2013 / 0 Comments

Learning From Research Affiliates' "Hot Potato: Momentum as an Investment Strategy"

Relative Momentum is a viable complementary investment strategy to a traditional portfolio.

01 October, 2013 / 0 Comments

Learning From Kaminski & Lo's "When Do Stop-Loss Rules Stop Losses"

If markets follow the Random Walk Hypothesis, stop loss rules has no value. If markets exhibit momentum effects, research shows that stop loss rules can improve returns and reduce risk.

01 July, 2013 / 0 Comments

Learning From Johan's "Demystifying momentum"

The paper finds positive momentum profits for the 6 different types of momentum strategies tested but these profits were only better than an equal-weighted strategy in the in-sample period.

01 July, 2013 / 0 Comments

Learning From Quest Partners' "Quantitative Trend Following Strategies and Equity Risk"

Style drifts in some trend following funds reduced their ability to hedge equity drawdowns and reduced their positive skew.

01 June, 2013 / 0 Comments

The Theory and Practice of Investment Management

19 May, 2013 / 0 Comments

The Safe Investor

11 April, 2013 / 0 Comments