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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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Volatility Gremlins

Readers have been emailing me about the returns of the models I have presented in the last few posts. Rather than respond to all of them individually, I thought I would just post the year by year returns for the S&P500, the 1-Year MO model,…

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More Momentum

What about a strategy that is a bit more active? In this follow up to “Simple Cross-Market Momentum”, I take a look at a shorter time-frame – 1 month momentum. The strategy selects the market for the following month with the highest absolute return the…

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Great Website

Fundadvice.com has a plethora of articles on buy-and-hold investing, as well as market timing. A couple of my favorites: Buy and Hold ArticlesThe Ultimate Buy and Hold PortfolioThe Perfect Portfolio Market Timing ArticlesAll About Market TimingMarket Timing: The Rest of the StoryDo You Have What…

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Simple Cross-Market Momentum

Below I will present a simple quantitative method that exploits momentum in relative returns across a wide set of asset classes. The strategy is examined since 1972 in an allocation framework utilizing a combination of diverse and publicly traded asset class indices including US Stocks…

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