Tag Archives: trend following

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. Share

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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. Share

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What Is A Quant Trader?

Quant trading is in fashion nowadays. This article may help you in separating the wheat from the chaff. Share

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The Case For A Multi-Year Range-Bound Stock Market

There are at least five factors that combined may create conditions for multi-year range-bound action in the U.S. stock market: Higher market efficiency, proliferation of ETFs, a crowded momentum trade, high frequency trading and the end of stimulus. Momentum traders … Continue reading

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Momentum: A Crowded Trade

Interest rate uncertainty had little to do with the flat performance of the S&P 500 year-to-date. The main cause of a directionless market is a crowded momentum trade due to hype about the potential success of these simplistic strategies. Share

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Long-Term Backtests Can Be Misleading

Authors of popular books and blog articles often present long backtests of certain strategies that exhibit superb risk-adjusted performance. It is important to realize that it is highly possible that these superb results are due to market conditions that may … Continue reading

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Evidence Based Analysis: CTA Gross Underperformance

I present evidence of the gross underperformance of the CTA group in the last 10 years and statistical analysis to rebut claims that the performance of a group of top 20 CTAs is more representative of this group’s performance. Share

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