Equity Momentum Strategies - February 2013 [View article]
Yes - the results are fairly close - quarterly was superior in this instance, but not materially so - I use 1-3 month lookback that is consistent with academic research - this article will be updated monthly so wanted to use monthly holding period
Equity/Fixed Income Momentum - February 2013 [View article]
Drawdowns are oft requested. I am going to put a separate article together as the lower drawdowns is a strength of these trades. Thanks for reading and commenting,
Equity/Fixed Income Momentum - February 2013 [View article]
John - part of that is just the way I have presented the data in cumulative return form - I will double check the 1990s return alone and repost. Thanks for reading and commenting,
Equity/Fixed Income Momentum - February 2013 [View article]
A few thoughts:
1) If the market completely understood the alpha that could be generated, we would see the excess return start to reduce. 2) A fund manager would have to turn over the portfolio each period to fully replicate the strategy - hard to scale up a fund with that requirement - although using derivatives might be a decent alternative. 3) I think we will see more funds begin to try and capture this phenomenon. 4) I have never seen some of these ideas written about (although the concepts have been well vetted and researched)- you are getting some free Ploutos originals.
Equity/Fixed Income Momentum - February 2013 [View article]
Donraphaelo - I do not believe that there is an optimal day. I use the first of the month because of the ease of getting historical returns for the backtest. Academic literature suggests 1-3 month look back and 1-3 mo forward holding period. Thanks for reading.
Doubling The Return Of The S&P 500 Over 20 Years [View article]
For interested readers, I wrote a second version of this article with a hurdle rate that the high beta index has to clear before their is a switch - marginally improves performance and reduces risk
Doubling The S&P 500 Over 20 Years - Part II [View article]
As I alluded to in the article, I examined adding a fixed income component - for the 3mo lookback, it did not materially change return profile. For a 1mo x 1mo strategy, it adds value. I will write up details soon. Thanks Bob and Pound for sharing your thoughts.
Equity Momentum Strategies - February 2013 [View article]
Equity Momentum Strategies - February 2013 [View article]
The High Yield Bond Trade For The Long Run [View article]
Equity/Fixed Income Momentum - February 2013 [View article]
Equity/Fixed Income Momentum - February 2013 [View article]
Equity/Fixed Income Momentum - February 2013 [View article]
1) If the market completely understood the alpha that could be generated, we would see the excess return start to reduce.
2) A fund manager would have to turn over the portfolio each period to fully replicate the strategy - hard to scale up a fund with that requirement - although using derivatives might be a decent alternative.
3) I think we will see more funds begin to try and capture this phenomenon.
4) I have never seen some of these ideas written about (although the concepts have been well vetted and researched)- you are getting some free Ploutos originals.
Equity/Fixed Income Momentum - February 2013 [View article]
Equity/Fixed Income Momentum - February 2013 [View article]
Equity/Fixed Income Momentum - February 2013 [View article]
How Risky Are Bonds? Stocks? [View article]
The High Yield Bond Trade For The Long Run [View article]
The High Yield Bond Trade For The Long Run [View article]
50 Fearless Predictions For 2013 [View article]
Doubling The Return Of The S&P 500 Over 20 Years [View article]
http://seekingalpha.co...
Doubling The S&P 500 Over 20 Years - Part II [View article]