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Learning From AQR's "Good Strategies for Tough Times"

Composite of long/short premia, including Absolute and Relative Momentum performs well when Equities or Bonds perform poorly. Absolute Momentum is a good complement with Private Equity with negative correlation.

01 October, 2015 / 0 Comments

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 / 0 Comments

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 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