This is a summary of links featured on Quantocracy on Friday, 09/02/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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When Academics Disagree on Momentum Investing [Alpha Architect]The academic standard for intermediate-term momentum measurement is 12_2 momentum: simply sort all stocks based on a stocks total return over the past twelve months, ignoring the last month. (a discussion is here and here) However, a few years ago Robert Novy-Marx wrote a paper titled Is Momentum Really Momentum? Given its provocative title, this paper caught our attention! Why
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State of Trend Following in August: Sharp Down Move [Au Tra Sy]It is Fall in Summer! The trend following index had a big move to the downside last month, taking the YTD performance to a negative level as well. The results are similar, over on the Wisdom State of Trend Following, a sort of version 2.0 of this report, which I write for them too. Please check below for more details. Detailed Results The figures for the month are: August return: -6.59% YTD
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August Fall for Trend Following [Wisdom Trading]August 2016 Trend Following: UP -7.32% / YTD: -7.95% August was mostly one-sided, sliding down to a strong negative performance, and taking with it the Year-To-Date performance to a similar level. Interesting to note the shorter timeframes weighing on the index while the longer timeframes are still positive/neutral on a 12-month horizon (we do offer trading systems with long-term timeframes). Note