Mutual Fund Alpha Momentum [PREMIUM]
Does momentum investing work when implemented via mutual fund alpha? In his February 2012 paper entitled “Short Term Alpha as a Predictor of Future Mutual Fund Performance” (the National Association of Active Investment Managers’ 201...
Combining Sector and Asset Class ETF Momentum [PREMIUM]
A subscriber asked: “Have you looked at combining sector and asset class momentum models? This strategy would add alternative asset classes plus cash to the nine sectors.” A combined strategy encompasses nine sector exchange-traded funds (...
Combining Sector and Style ETF Momentum [PREMIUM]
A subscriber commented and asked: “You compare style ETF momentum to sector ETF momentum in ‘Doing Momentum with Style (ETFs)’. Can you mix style and sector ETFs to form a combined momentum strategy and compare it with the individual ...
Alternative Asset Class ETF Momentum Allocations [PREMIUM]
A subscriber suggested an alternative to the ”Simple Asset Class ETF Momentum Strategy” that weights asset class ETFs according to six-month lagged return ranking (such as 35-25-20-10-4-3-2-1) rather than allocating all funds to the win...
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...
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...
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...
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...
Hedges/Shorting to Exploit Sector ETF Momentum? [PREMIUM]
Readers have proposed several hedging/shorting variations for “Simple Sector ETF Momentum Strategy Performance”, as follows: (1) buy the top and hedge with (short) the bottom sector based on past six-month return; (2) buy the top sector bas...
Alternative Sector ETF Momentum Metrics [PREMIUM]
Readers have suggested three alternative metrics for the strategy tested in the “Simple Sector ETF Momentum Strategy Performance”: (1) Sharpe Ratio over the past six months; (2) slope of price over the past six months; and, (3) average of t...
Alternative Sector ETF Momentum Metrics [PREMIUM]
Readers have suggested three alternative metrics for the strategy tested in the “Simple Sector ETF Momentum Strategy Performance”: (1) Sharpe Ratio over the past six months; (2) slope of price over the past six months; and, (3) average of t...
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...
