Momentum Winners and Trading Calendar Updates
We have updated the Market Models summary as follows: Extended the Earnings Forecast through the end of 2012 based on an estimate of actual earnings for the fourth quarter of 2011. Extended regressions/rolled projections by one month based on data ava...
Momentum Investing for Currencies? [PREMIUM]
Does momentum investing work for currencies as it does for equities? In the December 2011 version of their paper entitled “Currency Momentum Strategies”, Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf investigate momentum ...
Simple Asset Class ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of the “Simple Asset Class ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following eig...
Doing Momentum with Style (ETFs) Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of “Doing Momentum with Style (ETFs)” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following six style exchan...
Simple Sector ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of the “Simple Sector ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following nine sect...
Amplifying Momentum with Negatively Correlated Funds? [PREMIUM]
In the brief August 2011 paper entitled “Paired-switching for Tactical Portfolio Allocation”, flagged by a subscriber, Akhilesh Maewal and Joel Bock investigate the efficiency of a simple momentum strategy applied to pairs of exchange-trad...
Simple Asset Class ETF Momentum Strategy [PREMIUM]
Does a simple momentum strategy applied to tradable asset class proxies produce attractive results? To investigate, we test a simple strategy on the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Trac...
Simple Sector ETF Momentum Strategy [PREMIUM]
Do simple momentum trading strategies applied to major U.S. stock market sectors outperform reasonable benchmarks? To investigate, we apply three simple momentum strategies to the nine sector exchange-traded funds (ETF) defined by the Select Sector Sta...
ETF Momentum Strategy Updates/Extension
Over the past few days, in the background, we have updated and rationalized “Simple Sector ETF Momentum Strategy” (update pending) and “Doing Momentum with Style (ETFs)” (update just published). Updated means adding data for ...
Doing Momentum with Style (ETFs) [PREMIUM]
“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their...
Exploiting Idiosyncratic Volatility in Commodity Futures [PREMIUM]
Can investors exploit idiosyncratic volatility exhibited by commodity futures? In their December 2011 paper entitled “Idiosyncratic Volatility Strategies in Commodity Futures Markets”, Adrian Fernancez-Perez, Ana-Maria Fuertes and Joelle M...
Leveraged Style ETF (2X and -2X) Momentum Strategy [PREMIUM]
A subscriber suggested applying a simple momentum trading strategy to a set of leveraged equity style (size, value-growth) exchanged-traded funds (ETF), including leveraged long and leveraged short counterparts to exploit both positive and negative m...
