This is a summary of links featured on Quantocracy on Monday, 05/22/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Key New Momentum Measure to Consider: Distance from 1-Year High [Allocate Smartly]This research was inspired by Alpha Architects coverage of a new paper looking at how the distance from a stocks 1-year high has affected the performance of momentum strategies and the likelihood of momentum crashes. We look at the same question applied to a stock index: the S&P 500. We show that how far the S&P 500 was from a 1-year high has had a significant impact on the
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The Single Greatest Predictor of Future Stock Market Returns, Ten Years After [Portfolio Optimizer]In his 2013 post The Single Greatest Predictor of Future Stock Market Returns, Jesse Livermore1 from the blog Philosophical Economics introduced an indicator to forecast long-term U.S. stock market returns and empirically demonstrated that it outperformed all the commonly used stock market valuation metrics like the Shiller CAPE2. This indicator, called the Aggregate Investor Allocation to
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Mark Virag’s Momentum Based Balancing : Relative Momentum Taken to the Extreme [Allocate Smartly]This a test of Mark Virags paper Momentum Based Balancing for the Diversified Portfolio (NAAIM Wagner Award winner, 2014). This is a relative momentum strategy that provides an interesting contrast to a popular strategy we track: FinancialMentor.coms Optimum 3. More on this later. Backtested results from 1973 follow. Results are net of transaction costs see backtest assumptions.
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Trend Following in Equities [Finominal]Long-only trend following in equities was more effective than long-short trend following in the US Same for European and Asian stock markets Perhaps explained by the negative skewness of stock markets INTRODUCTION Imagine a world where economic growth is anemic. Governments and central banks do everything to stimulate growth, but their powers have weakened over time to the extent that even the