New Paper and Cambria QR

Ok, the people have spoken – Cambria QR will go out once a week (instead of daily) with what I am reading (probably Sunday?).

Check out the first email yesterday for a link to my new paper: Relative Strength Strategies for Investing.

The purpose of this paper is to present simple quantitative methods that improve risk-adjusted returns for investing in US equity sectors and global asset class portfolios. A relative strength model is tested on the French-Fama US equity sector data back to the 1920s that results in increased absolute returns with equity-like risk. The relative strength portfolios outperform the buy and hold benchmark in approximately 70% of all years and returns are persistent across time. The addition of a trend-following parameter to dynamically hedge the portfolio decreases both volatility and drawdown. The relative strength model is then tested across a portfolio of global asset classes with supporting results.