Quant Mashup - RRSP Strategy Markowitz portfolio optimization with VBA code [RRSP Strategy]Wouter, Butler and Kipnis [2015] recently demonstrated Classical Asset Allocation (CAA) for long only portfolios, based on Markowitz’ concepts. The method uses only two parameters thus minimizing the chances of curve-fitting and data snooping. The parameters are lookback period (12 months) and(...) Does sector momentum outperform stock momentum? [RRSP Strategy]A momentum strategy may be implemented at an individual stock level or sector level. Is there an advantage to partitioning stocks into sectors and owning the strongest sector versus buying the highest momentum stocks in the market? Stock momentum funds have been available for a few years and(...) US recessions, the Value Factor (HML) and current status [RRSP Strategy]The Fama-French value factor HML exhibits a fairly reliable 4 year cycle. Growth and Value out-performance oscillates with a 4 year period (see my previous post on this). Liew and Vassilou (1999), show that annual change in HML is related to future GDP change (see my blog post here). Therefore(...) Seasonality debunked (partially) [RRSP Strategy]I’ve previously written about a bi-annual seasonality pattern in US equity markets: https://rrspstrategy.wordpress.com/2014/05/16/bi-annual-seasonality/ The quarterly average market (Mkt-RF) returns from 1950 to present are shown below (data from Ken French’s library). Quarters 1-4 are even(...) Cumulative market gains are zero across ‘even years’ [RRSP Strategy]Mkt-RF returns in ‘even years’ sum to zero over the last 50+ years (data from Ken French’s library). This could be a spurious result although the stats suggest otherwise. odd-even-years Is this result statistically significant? Applying Student’s t-test gives a statistic of 2.3, i.e. mean(...) Factor Relative Momentum: surprising finding on ranking [RRSP Strategy]A Value or Momentum portfolio is selected each month, based on the highest previous 12 month return (R). Data are from Ken French’s library from 1950 to 2015. I use the large momentum portfolio and small value portfolio (the HML anomaly … Continue reading NYSE Advance – Decline Volume above 1000 (3 year high) [RRSP Strategy]3 year high for $NYUD: significant money flow, especially into large caps: https://rrspstrategy.wordpress.com/charts/ Statistics for last 3 years 1 month return after $NYUD > 500 1.8% 1 month return (all) 1.2% 3 Factor Dual Momentum: Value, Momentum and Low Volatility (or BAB) [RRSP Strategy]This post looks at Factor* Dual Momentum with 3 factors: Value, Momentum and Low Volatility (or Betting against Beta). Previous posts covered 2 factors only. * long portfolios from the factors, rather than the long minus short factors themselves. Low … Continue reading Factor Dual Momentum status and plea for data [RRSP Strategy]The recent series analyzed Factor Dual Momentum. US Value and Momentum factor portfolios were tested back to 1950, courtesy of Ken French’s data library. Portfolios are ranked on 12 month return. Using VBR and PDP for value and momentum, the current … Continue reading Dual momentum: lookback parameter [RRSP Strategy]A great advantage of dual momentum is the low number of parameters (typically only a lookback length of 12 months is used). This reduces the likelihood that results are curve-fitted or uncovered by data-mining and subsequently useless in real-time trading. … Continue reading U Dual momentum: real portfolios and current status [RRSP Strategy]Dual momentum with Value and Momentum factor portfolios was tested back to 1950 with 16% annual returns: What is the tracking error of real ETFs to those portfolios? Vanguard Small-Value (VBR) launched in 2004 and can underperform Value near market peaks … Continue reading Dual momentum with Value and Momentum factor portfolios [RRSP Strategy]Dual Momentum is a robust portfolio allocation tool. Relative 12 month returns are used to rank assets. Shelter is sought in a safe asset when 12 month absolute returns fall below a threshold. Gary Antonacci describes Global Equities Momentum using US … Dual momentum without the benefit of the bond bull market [RRSP Strategy]Dual momentum, popularized by Gary Antonacci, uses 12 month returns to: rank and select the top asset (RELATIVE) shelter in a safer asset if the absolute value falls below a threshold (ABSOLUTE) Many tactical strategies use bonds as the safer …