When Congress goes to work, it’s time to sell. . .
Article at The Club For Growth"According to two economists, Mike Ferguson of the University of Cincinnati and Hugh Douglas Witte of the University of...
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...
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...
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...
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...
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...
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...
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...
Goldman Primer
In the Goldman Sachs GTAA primer linked below, they describe some empirical evidence of GTAA using valuation and momentum factors. They form equal weighted...
Historical Evidence
Essentially, GTAA is market timing. Historical evidence has provided a mixed bag of evidence of the ability of market timers. One of the best...
