There are many investors who prefer to remain invested in stocks at all times. Perhaps they think tactical allocation is some kind of voodoo. Maybe they have a strong psychological bias against occasional whipsaw losses and do not mind bear market d…
Last month a millennial emailed me saying he liked my book. But he wondered if the outperformance of dual momentum would disappear if he used dollar cost averaging (DCA) and could no longer contribute as much to beaten down assets. I showed him logical…
In the words of Asness et al (2014), “No other factor…has nearly as long a track record, as much out-of-sample evidence (including across time, geography and even security type), or as strong and reliable a return premium as momentum.” They were …
Those who have read my momentum research papers, book, and this blog should know that simple dual momentum has handily and consistently outperformed buy-and-hold. The following chart shows the 10- year rolling excess return of our popular Global Equ…
Several months ago we posted an article called “Bring Data” where we showed the importance of having abundant data for system development and validation. This was further reinforced to us recently when someone actually brought us additional U.S. st…
Multi-factor investing that combines value, momentum, quality/profitability, or low volatility factors is today’s hot new investment approach. There has been an explosion of multi-factor ETFs recently with nine of the fourteen existing U.S. multi-…
I have always looked favorably upon do-it-yourself investing (DIY). It was a prominent feature of my own book. So I’ve been looking forward to DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth by Wes Gray, Jack Vogel, and Davi…
When doing financial modeling, one of the first things to look at is if your empirical work makes sense. In other words, are there valid economic reasons why a model should work? This can help you avoid drawing erroneous conclusions based on crea…
One of the most popular research papers on momentum is “Value and Momentum Everywhere” by Asness, Moskowitz, and Pedersen. In June 2013, this was published in the prestigious Journal of Finance. I have an earlier blog post which discussed that pape…
Sometimes I get asked how well momentum has done the past year or the past several years. If I am in a snarky mood that day, I’ll respond, “What will that tell you?” The truth of the matter is that, in most cases, short-term performance is indist…
Stop losses are a form of trend following in which you switch from risky assets, such as stocks, to a risk-free or fixed income asset after there are pre-determ
Stop losses are a form of trend following in which you switch from risky assets, such as stocks, to a risk-free or fixed income asset after there are pre-determined cumulative losses. The random walk hypothesis (RWH) was widely accepted in the 1960s an…
Gogi Grewal is an engineer and astute financial analyst who has been following my work for a number of years. He has an excellent grasp of dual momentum. Since Gogi lives in Canada, he decided to researc…
Years ago when I first started studying momentum, two things stood out in my mind. The first was most momentum research focused on cross-sectional stock studies looking at the future performance of stocks that had been strong versus stocks that had bee…
Socially Responsible Investing (SRI), also known as sustainable investing, is the application of ethical as well as financial considerations in making investment decisions. SRI therefore recognizes and incorporates societal needs and benefits.SRI may f…
I used to always cut my round fruits and vegies in the wrong directions. I finally got around this problem by turning them in the opposite direction to the way I initially wanted to cut them. Similarly, many investors and investment managers are …
Until recently, the longest back test using stock market data was Geczy and Samonov’s 2012 study of relative strength momentum called “212 Years of Price Momentum: The World’s Longest Backtest: 1801-2012”. The length of that study has now been …
Trend following based absolute momentum, also known as time-series momentum, is the Rodney Dangerfield of investing. It “don’t get no respect.” Absolute momentum is little known and hardly used by investors. Yet it can be a very powerful tool, le…
Momentum is most commonly applied to stocks. But it works just as well, if not better, when applied to bonds. Our Dual Momentum Fixed Income model switches monthly between the strongest one of the following indexes: Barclays Capital U.S. Credit Bonds, Barclays Capital U.S. Corporate Hi Yield Bonds, and 90 day U.S. Treasury bills.The reason for choosi…
Most of us learned long ago that diversification is a good thing. In fact, it is often called the closest thing to a “free lunch” in the world of investing. This is because when used wisely, diversification can reduce portfolio volatility with little or no diminution in return. But the key is the phrase “when used wisely.”Working with individ…
Diversified Asset Allocation Portfolios For Your Plans
| Vanguard ETF: | 10%* |  |
| Diversified Core: | 11%* | |
| Six Core Asset ETFs: | 10%* | |
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