Momentum On Dual Momentum Portfolios

By: Marco Simioni

In the first section, this article describes a Dual Momentum study over an iShares country etfs basket with a new attempt to improve this well-known investing style. I chose iShares because it is the world largest family of Exchange Traded Funds (ETFs) from BlackRock. Although different stock markets correlations have become weaker and weaker in these last 10 years, this article easily shows that countries diversification is still feasible.

In the second part, I briefly recall another Dual Momentum Portfolio, the Famous 5 Portfolio, and apply to momentum concept to the two portfolios. This results in a new comprehensive strategy that rotate monthly from Countries Portfolio to the Famous 5 Portfolio or viceversa.

My backtest, highlight that momentum persists not only through single different assets (etfs) but through portfolios as well.

Read more

Momentum Strategies

By Rutendo Kadzikano

Pinto, Henry, Robinson and Stowe (2010) define momentum indicators as valuation indicators that are based on the relationship between price or another fundamental, earnings for example, to a time series of its historical performance or to the fundamental’s expected future performance values. When the strategy uses earnings then it is an earnings momentum strategy and in the case of using price then it is a momentum strategy. Momentum strategies can either be relative or absolute. Relative strategies compare the momentum of different assets to each other and absolute momentum is not concerned with the performance of other assets as it only focuses on that stocks past return in predicting future returns. Read more

Momentum Crashes

By Fortune Chiwewe

Seminal work by Jegadeesh and Titman (1993) found that past winners outperform past losers over a horizon of 3-12 months. Investors thus take a long position on winner stocks and a short position on loser stocks in order to realise anomalous profits. This strategy is widely adopted and appears to be timeless in terms periodically not functioning but never completely disappearing. This paper sets to investigate what happens when the strategy does not work, i.e. when momentum crashes. Read more

Momentum investing, portfolio optimisation, and diversification

By Rujeko Musarurwa

It is nearly impossible to get the right mix of stocks to achieve maximum returns. A lot of time and effort has been spent trying to renovate and build upon old theories in order for investors to gain maximum returns. Wouldn’t it be ideal to be able to invest in stocks that are increasing in price and will continue to increase into the future? How much more would it benefit investors to know the right moment in which to shift stock weights i.e. buy or sell a stock in order to gain higher returns? These are just some of the questions that I will aim to answer.

This will be the first article in a 4 part series of articles. I will attempt to come up with a portfolio that will provide the best returns for momentum investing whilst actively managing the portfolio. In this first article I will be discussing the combination of momentum investing, portfolio optimisation and diversification and despite some researchers disagreeing with these two theories working together, most researchers agree that combination of strategies work well together and I will discuss how and why these specific strategies can work jointly. The second article will discuss the diversification method and give you an insight on how to pick the correct stocks and correct number of stocks followed by a third article that will discuss the portfolio optimisation area i.e. the risk-return tradeoff that should give the best stock selection by using normal distribution formula and other methods. The fourth article will combine all the topics previously discussed in order to formulate the ultimate model and discuss why the model should work. Read more

Creating an Open Source Hedge Fund Strategy

The Open Source Hedge Fund Project is a community driven project which aims to create the best quant trading systems and operational structures to run a fully functional hedge fund. With the twist that all the IP is open to the public. Contributors will receive full access to this collective and ever evolving “Hedge Fund in a Box”

The Hedge Fund in a Box is all the marketing, legal, business templates, daily operations, fund strategies, and due diligence documents needed to start a hedge fund. In essence it is a hedge fund template where contributors can fill in their names, company details, and then launch a hedge fund.

Read more