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...
Models, Momentum Winners and Trading Calendar Updates
We have updated the Market Models summary as follows: Incorporated estimated Standard & Poor’s earnings results for the first quarter of 2012 (revision likely). Extended regressions/rolled projections by one month based on data available thr...
Melding Momentum, Diversification and Absolute Return [PREMIUM]
What is the safest way to exploit asset price momentum? In his April 2012 paper entitled “Risk Premia Harvesting Through Momentum”, Gary Antonacci investigates systematic capture of upside volatility at the asset class level via a momentum/...
Avoiding Momentum Strategy Crashes [PREMIUM]
Stock price momentum strategies sometime crash, greatly detracting from long-term performance. Is there a reliable way to avoid the crashes? In the April 2012 version of their paper entitled “Managing the Risk of Momentum”, Pedro Barroso an...
Spectacular “New” Momentum and Reversal? [PREMIUM]
Do “new” momentum stocks outperform “old” ones? In the March 2012 version of their paper entitled “Limited Attention, Salience, and Stock Returns”, Avanidhar Subrahmanyam, Jason Wei and Hsin-Yi Yu analyze whether s...
Melding Momentum and ETF Portfolio Management Practices [PREMIUM]
It is arguable that many exchange-traded fund (ETF) momentum strategy tests derive more from logical/programming simplicity than common portfolio management practices. Does momentum work for portfolios of ETFs when melded with the latter? In his March ...
Interaction of Momentum/Reversal with Size and Value [PREMIUM]
Do market capitalization (size) and book-to-market ratio systematically affect intermediate-term momentum and long-term reversal for individual stocks? In their February 2012 paper entitled “Momentum and Reversal: Does What Goes Up Always Come D...
Testing U.S. Equity Anomalies Worldwide [PREMIUM]
Do widely acknowledged U.S. equity market anomalies exist in other stock markets? If so, why? In his November 2011 paper entitled “Equity Anomalies Around the World” [apparently removed from SSRN], Steve Fan investigates whether a number o...
Melding Momentum and Stock Portfolio Management Practices [PREMIUM]
It is arguable that many stock momentum strategy tests derive more from logical/programming simplicity than realistic portfolio management practices. Does momentum work when melded with the latter? In the January 2012 update of his paper entitled ̶...
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 ...
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...
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 ...
