momentum

Posted on Apr 29, 2019 by Kris Longmore
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In our inaugural Algo Bootcamp, we teamed up with our super-active community of traders and developed a long-only, always-in-the-market strategy for harvesting risk premia. It holds a number of different ETFs, varying their relative weighting on a monthly basis. We're happy with it. However, the perennial question remains: can we do better? As you might expect, we found evidence suggesting that risk premia are time-varying. If we could somehow predict this variation, we could use that prediction to adjust the weightings of our portfolio and quite probably improve the strategy's performance. This might sound simple enough, but we actually found compelling evidence both for and against our ability to time risk premia returns. We're always telling our Bootcamp participants that developing trading and investment strategies requires the considered balancing of evidence in the face of uncertainty. In this case, we decided that there was enough evidence to suggest that we could weakly predict time-varying risk premia returns, at least to the extent that slight weight adjustments in accordance with these predictions might provide value. The strategy was already decent enough, so...

Posted on Apr 28, 2017 by Kris Longmore
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I recently read Gary Antonacci's book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the "premier anomaly" (Fama and French, 2008), but because it is ultimately about approaching the markets with a critical, inquisitive mindset, while not taking oneself too seriously. I think we can all do with a dose of that sometimes. Gary's style is unique: this is the work of a free and critical thinker who is not afraid to question the status quo. While articulately drawing from a range of sources, from Shakespeare to Bacon and Einstein to Buffet (even Thomas Conrad's 1970 book Hedgemanship: How to Make Money in Bear Markets, Bull Markets and Chicken Markets While Confounding Professional Money Managers and Attracting a Better Class of Women, which has got to be the greatest title in the history of trading books), Gary comes across as playful and slightly eccentric (which is wonderfully refreshing...