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NEW LOOK

When I first started blogging, I wanted to keep the topics separated on their own blogs. Since writing consistently on four separate blogs is a hassle (and readers have been requesting I consolidate), I’m moving them all to World Beta. From now on, I will…

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Mean Reversion

In 2003, investors in global equities had just experienced 3 brutal years of negative returns. While many were too shell shocked to commit new (or in many cases, any) capital to the stock markets, this was precisely the best time to buy stocks. Baron Phillipe…

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Drawbacks of Simple Momentum

As a number of readers have pointed out, there are various drawbacks to the method/test I have presented here. The big ones are: 1. Fixed measurement period. I used a simple one-month and one-year absolute measure, but it is possible that 3, 6, X months…

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Does 1MO Work on Foreign Indices?

I take a look at the top 5 countries in the MSCI EAFE Index – UK, Japan, France, Switzerland, Germany, and Cash. Much better return with similar volatility (resulting in a higher Sharpe), and lower drawdown. No allowances made for commissions, slippage, taxes, etc. Equity…

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