Category Archives: Trend following

The Transition From Strategic To Tactical Asset Allocation

Most investors neglect forecasting (timing) methods because of the theoretical and practical difficulties that are associated with the transition from strategic to tactical asset allocation. If a transition is decided, assigning the task to a registered adviser with experience in … Continue reading

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Three Reasons Why Momentum is Neglected

The author of the book on Dual Momentum Investing, Garry Antonacci, wrote an article recently with nine reasons why momentum is neglected. Although I disagree that momentum is neglected, I list in this article three reasons why some investors avoid this … Continue reading

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Absolute and Relative Momentum Failed in 2015

Both absolute and relative momentum strategies generated losses in 2015 while naive allocation schemes succeeded in preserving capital. In this article, I provide examples for a portfolio of two ETFs allocating to stocks and bonds.

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Short-Term Rate Increase Neutralized

On December 16, 2015, when the Fed raised short-term rates, the 10-Year Note yield was at 2.29%. After about a month, the market has neutralized the Fed action and the 10-Year Note yield has fallen by about 25 basis points.

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Performance of TFADAPT and PSI Trading Systems in 2015

The TFADAPT and PSI trading systems were not data-mined. The latter is based on a formula from a text on probability and stochastic processes and the former uses a trend detection method that takes into account volatility.

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Value Investors Are Reclaiming The Market

This was the worst first week of the year for U.S. stocks in at least 66 years. And this drop may not be related to interest rates, oil prices or geopolitical instability but to the fact that value investors are … Continue reading

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Stock Market Trend-following Woes

The golden cross in S&P 500 from last month has just failed after another failed death-cross from October. Stock market trend followers are accumulating losses after a 4-year uptrend. A number of funds have already shut down operations.

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