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Re: Any Momentum Investors Out There?

In this thread: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=122497&p=2300064#p2300064 the OP links to this article: http://seekingalpha.com/article/2715325-rebalancing-of-fixed-asset-allocation-portfolios-how-often Wherein the author makes a compelling claim that return can be dra...
by gatorman
Sat Dec 20, 2014 5:32 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

just a side question for you mo' guys, what broker do you use for your trades? thanks for all your posts, don I'm currently with Scottrade, but am not currently including momentum as a planned aspect of my allocation strategy. If I decide to implement a momentum strategy, I'm thinking of moving my ...
by gatorman
Fri Dec 19, 2014 10:56 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

The charting of the MOM factor by Research Affiliates in gatorman's prior post ([url]https://www.researchaffiliates.com/Our% ... actor.aspx[/url] is quite interesting to me. It shows that MOM factor was significantly positive every year for 40 years, 1974 - 2004, more positive than SmB or any other...
by gatorman
Fri Dec 19, 2014 10:50 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

In this thread: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=122497&p=2300064#p2300064 the OP links to this article: http://seekingalpha.com/article/2715325-rebalancing-of-fixed-asset-allocation-portfolios-how-often Wherein the author makes a compelling claim that return can be dra...
by gatorman
Fri Dec 19, 2014 10:39 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

It is extremely dangerous to run a trading fund that is based on a publically available TRADING factor index. E.g., the MSCI USA Momentum factor is published and disseminated to hedge funds. If you have a mutual fund that basically follows this strategy, then you are subject to legal front-running ...
by gatorman
Thu Dec 18, 2014 8:40 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: We made our own Will

A will is one of the most technical of all legal documents to draft. It does not take effect until after you are dead, which means it can not be changed if a mistake is found after you are gone. So, it is not a good idea to do it yourself, it is a very bad idea. You should consult an experienced at...
by gatorman
Thu Dec 18, 2014 5:33 pm
 
Forum: Personal Finance (Not Investing)
Topic: We made our own Will
Replies: 46
Views: 2855

Re: We made our own Will

A will is one of the most technical of all legal documents to draft. It does not take effect until after you are dead, which means it can not be changed if a mistake is found after you are gone. So, it is not a good idea to do it yourself, it is a very bad idea. You should consult an experienced att...
by gatorman
Thu Dec 18, 2014 3:06 pm
 
Forum: Personal Finance (Not Investing)
Topic: We made our own Will
Replies: 46
Views: 2855

Re: Your Favorite Cookbook?

Not sure I should post this. I don't want you hurting yourselves. Promise me you will act responsibly. Ok, here it is: http://www.foodnetwork.com/chefs/alton-brown/alton-browns-top-recipes.html?affiliate=blocker&omnisource=SEM&c1=Outbrain_Paid&c2=Outbrain&c4=Alton-Browns-Top-Recipes ...
by gatorman
Thu Dec 18, 2014 2:30 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Your Favorite Cookbook?

No cookbook here. I was fortunate enough to have a little old Italian grandmother (la mia nonna!) who gave me lessons. Of course, I had to guess at the ingredient amounts when I was writing down her "recipes".....she used no inanimate measuring devices whatsoever. That's the way I cook mo...
by gatorman
Wed Dec 17, 2014 10:27 am
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Any Momentum Investors Out There?

This is interesting . These researchers claim momentum profits accrue overnight, as opposed to the profits attributable to the other anomalies which occur interday. Make money while you sleep?
Here is a link:
https://www2.bc.edu/~pontiff/Conference ... 141201.pdf

gatorman
by gatorman
Mon Dec 15, 2014 9:45 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Your Favorite Cookbook?

So, I've finished looking through the Nero Wolfe Cookbook. There are probably 15-20 recipes I'd like to try. Most of the desserts look good. I'm especially interested in one just because I like the name, Blueberry Grunt. Many of the meat dishes reflect a cooking style no longer popular, lots of sauc...
by gatorman
Sun Dec 14, 2014 11:54 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: What is the best meal you've had at a restaurant?

We had the good fortune to attend the annual wine club dinner at Tahbilk winery in Central Victoria, AU. Great wines with every course, terrific food, including the best lamb I've ever had. I still remember the cheese tray at the end, best cheese I've ever had. Just superb from beginning to end. gat...
by gatorman
Sun Dec 14, 2014 9:22 pm
 
Forum: Personal Consumer Issues
Topic: What is the best meal you've had at a restaurant?
Replies: 88
Views: 6556

Re: Your Favorite Cookbook?

I use very few cookbooks these days, but the ones I pull are Becky Crocker which I use for the meatloaf recipe and Famous Dave's for all things good in the summer. The Pioneer Woman puts out some good stuff and I typically pull her recipes off of the web. In fact, when I am cooking something and am...
by gatorman
Sun Dec 14, 2014 7:33 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Your Favorite Cookbook?

Big Green Egg Cookbook. Started me on natural charcoal grill cooking and smoking several years ago, never looked back. Now get most of my recipes for charcoal grill online but still use this cookbook as basic source. Now have more Dutch Oven pots than can use, need to start giving some away. But we...
by gatorman
Sun Dec 14, 2014 5:37 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Taste testing wine at home

Host a wine tasting party. Have everyone bring a bottle and share them around. Let everyone rate them and see what comes out on top. Or, go find a wine bar with a good selection and see if they offer tasting samples. Sometimes they'll offer a deal like six different samples of Merlot for $10. I'd ca...
by gatorman
Sun Dec 14, 2014 5:28 pm
 
Forum: Personal Consumer Issues
Topic: Taste testing wine at home
Replies: 23
Views: 1656

Re: Any Momentum Investors Out There?

Most studies that try to find optimal momentum horizons are probably accurate, but only historically so. The key aspect of momentum horizon is that such a horizon is variable, and in general is a function of flow of funds. If some research came out, and the said research advocated for monthly rebal...
by gatorman
Sun Dec 14, 2014 5:16 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Most studies that try to find optimal momentum horizons are probably accurate, but only historically so. The key aspect of momentum horizon is that such a horizon is variable, and in general is a function of flow of funds. If some research came out, and the said research advocated for monthly rebal...
by gatorman
Sun Dec 14, 2014 4:46 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

TradingPlaces wrote:Any boggle head investor who is not rebalancing daily is a momentum investor. Any other answer, and you are not being truthful.


Trying to get a rise outta them?
BTW "boggle" should just have one g.
gatorman
by gatorman
Sun Dec 14, 2014 4:29 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

These researchers simulated a momentum approach and found in regard to optimum lookback periods: The highest Sharpe ratio of momentum is achieved using a window of four months, and is 40%. Moreover, windows from one to 11 months yield Sharpe ratios larger than 30%, the ratio of the market index. The...
by gatorman
Sun Dec 14, 2014 4:17 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Research Affiliates (the RAFI guys) agrees with Robert T, momentum should not be the primary portfolio driver:

https://www.researchaffiliates.com/Our% ... actor.aspx

gatorman
by gatorman
Sun Dec 14, 2014 3:51 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Your Favorite Cookbook?

I have Mastering the Art of French Cooking, but I have no idea where to start. Any suggestions to get me going? It depends on what you like. Probably the easiest, and, to my palate, one of the tastiest, is her Onion Soup recipe. But I'm wondering if your kids would go for it? If you are a beef eate...
by gatorman
Sun Dec 14, 2014 8:26 am
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Your Favorite Cookbook?

Currently I'm reading The Nero Wolfe Cookbook by Rex Stout, et al. I think it has the potential to join the ranks of my other favorites. I'll know as soon as my kitchen remodel is done and I can do a little cooking to try out a few of the recipes. I'm really looking forward to trying the shirred eg...
by gatorman
Sun Dec 14, 2014 6:59 am
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Your Favorite Cookbook?

I see several references to The Joy of Cooking . I think it is significant it is mentioned as a book which pays much attention to technique. Most of the good cookbooks I can think of are very strong on technique and I think the emphasis on technique is what separates the real cookbooks from the mere...
by gatorman
Sat Dec 13, 2014 10:38 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Any Momentum Investors Out There?

http://i61.tinypic.com/sxm655.png Here is a particular mutual fund that I have been aware of for several years. The manager is a former B-2 Bomber pilot who has excellent quant skills and he is backed up by quant analysts and powerful computers. The fund is designed to capture price momentum first ...
by gatorman
Sat Dec 13, 2014 5:33 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Your Favorite Cookbook?

For a long time it's been Julia Child's Mastering the Art of French Cooking . Here's a link to the Amazon page for it: http://www.amazon.com/s/ref=nb_sb_noss?url=search-alias%3Dstripbooks&field-keywords=Masteing+the+Art+of+French+Cooking Want to understand how to make a great Beef Bourguignon? T...
by gatorman
Sat Dec 13, 2014 5:02 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 60
Views: 3936

Re: Any Momentum Investors Out There?

As I think of how to implement the value portion of a value-momentum portfolio I can think of a couple of ways to go about it. I might simply allocate a certain percentage of the portfolio to value etfs. An alternative would be to include value etfs in the list of etfs to be screened for momentum so...
by gatorman
Sat Dec 13, 2014 3:11 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Here are some factor loadings from Portfolio Visualizer (what a great site!): Ticker/Market/Size/Value/Momentum Small Value: IWN/.92/.77/.61/.02 VBR/.99/.63/.37/-.08 IJS/.94/.82/.49/0 DES/.83/.73/.6/-.17 JKL/.96/.66/.48/-.14 EES/.93/.88/.25/-.23 SLYV/.91/.61/.65/-.02 RZV/.99/1.35/.8/-.56 FNDA/1.08/....
by gatorman
Sat Dec 13, 2014 12:32 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

. 1975-2013 - Annualized return/Annualized Standard Deviation 14.2%/17.3 = MSCI USA Momentum 11.3%/17.1 = MSCI USA Growth 12.0%/15.5 = MSCI USA 12.4%/15.1 = MSCI USA Value Obviously no guarantees. Robert . Robert- If one was going to set up a momentum-value portfolio, do you have any thoughts as to...
by gatorman
Sat Dec 13, 2014 10:36 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

The momentum backtest is neat. It doesn't seem to use all the history of funds, for example for a Templeton fund going back to 1954, the site only goes back to mid 1980s. EMF is from 1987 but the site starts it at 1990. I didn't put much effort into finding funds that exist today that went back to ...
by gatorman
Sat Dec 13, 2014 10:28 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

. 1975-2013 - Annualized return/Annualized Standard Deviation 14.2%/17.3 = MSCI USA Momentum 11.3%/17.1 = MSCI USA Growth 12.0%/15.5 = MSCI USA 12.4%/15.1 = MSCI USA Value Obviously no guarantees. Robert . I'd agree with that. The 2.2% premium of the USA Momentum index over the USA index is right i...
by gatorman
Sat Dec 13, 2014 9:57 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Here is an article on the pitfalls of momentum investing:

http://www.pepsecurities.com/sites/defa ... Factor.pdf

I've got some questions about his analysis of trade profitability, but I tend to agree with many of his other points.
gatorman
by gatorman
Fri Dec 12, 2014 10:21 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

I don't know why you would limit yourself to ETFs. ETFs are fine, but so are mutual funds. All the AQR momentum funds would then be viable options. To determine factor loadings, there are two options. You can use a tool like Portfolio Visualizer, or you can learn to calculate your own loadings. Por...
by gatorman
Fri Dec 12, 2014 8:08 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

garlandwhizzer wrote:I don't know. Robert T will know and he has shown that data for specific funds in the past. Perhaps try a personal message to him.

Garland Whizzer

Thanks, I'll contact him directly.
gatorman
by gatorman
Thu Dec 11, 2014 9:21 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

If an investor does not desire to screen etfs for momentum , there are some etfs available which attempt to select the stocks they hold based on momentum. Here are some examples: iShares MSCI USA Momentum Factor ETF (Ticker: MTUM) https://www.blackrock.com/investing/literature/fact-sheet/mtum-ishare...
by gatorman
Thu Dec 11, 2014 9:19 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

gatorman wrote: 3. Your overall recommendation as to the best value etfs for use in a value-momentum portfolio and an explanation as to your reasons for thinking they are the best. I suspect Robert T would be in the best position to advise you on this since he does thorough analysis of etf premium ...
by gatorman
Thu Dec 11, 2014 8:18 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

@gatorman, if DIY momentum investing is implementing a moving average decision-rule, then I remain skeptical about the practicality. People have been hunting for robust strategies along those lines since the invention of graph paper, but my sense was that none of them worked. Well then you should f...
by gatorman
Thu Dec 11, 2014 2:16 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Can someone explain if I'm missing something here? 1) There are funds that seek to capture the momentum factor. 2) If you don't want to capture the momentum factor with a fund then you have to use market signals to time your rebalancing. 3) There's no other option for taking advantage of momentum. ...
by gatorman
Thu Dec 11, 2014 2:01 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

So, I'm starting to think about how I might implement a momentum-value portfolio. I haven't decided to go ahead with it, but I'm just starting to think about what it might look like, and I've decided to start with the value component. I need your help to do that. Could some of you portfolio construc...
by gatorman
Thu Dec 11, 2014 11:02 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

One concern about adopting the momentum strategy is the transaction cost associated with the extra trades required to implement it. Larry Swedroe discusses that in the replies to this article: http://www.etf.com/sections/index-investor-corner/22563-swedroe-a-close-look-at-value-a-momentum.html?start...
by gatorman
Thu Dec 11, 2014 6:41 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

This is a repeat of the Dorsey Wright study utilizing Monte Carlo methods I posted about earlier, except this time they used international stocks:

http://dorseywrightmm.com/downloads/hrs ... rength.pdf
gatorman
by gatorman
Wed Dec 10, 2014 6:08 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

In this article, Dorsey-Wright makes the case for adjusting the lookback period upward and downward as market volatility fluctuates. They maintain that the lookback period should be increased as market volatility increases, and decrease when volatility decreases. This is counterintuitive, but they s...
by gatorman
Wed Dec 10, 2014 5:42 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Here is a link to an article describing a Monte Carlo simulation of the momentum strategy:

http://dorseywrightmm.com/downloads/hrs ... tation.pdf

If it works as well in real life, I think most persons who adopt the momentum strategy will be quite happy.
gatorman
by gatorman
Wed Dec 10, 2014 5:24 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

garlandwhizzer wrote:Thanks, gatortman, for these informative posts.

Garland Whizzer


My pleasure, I'm glad you find them helpful.
gatorman
by gatorman
Wed Dec 10, 2014 4:51 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Steve Forbes interviews Cliff Asness of AQR. Asness talks about the benefits of the combination of value and momentum in one's portfolio. Also discusses the carry trade and low beta strategies.

https://www.youtube.com/watch?v=2w1OYDeTfsk

gatorman
by gatorman
Wed Dec 10, 2014 5:26 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Very interesting presentation on momentum from Kent Daniel of Columbia:

https://www.youtube.com/watch?v=2w1OYDeTfsk

He points out how poorly momentum works after major bottoms and suggests a strategy to overcome the poor performance. This is worth watching.

gatorman
by gatorman
Tue Dec 09, 2014 10:04 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

One question I have is in regard to the optimum lookback period for determining momentum- what is it? the answer is, as far as I can tell thus far, "it depends," as more thoroughly explained in this article: http://seekingalpha.com/article/2115393-the-evolution-of-optimal-lookback-horizon ...
by gatorman
Tue Dec 09, 2014 1:28 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Interesting presentation from Meb Faber discussing enhancements to Cambria's momentum trading system:

http://mebfaber.com/2012/03/05/how-to-g ... s-to-qtaa/

gatorman
by gatorman
Tue Dec 09, 2014 5:21 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

A few things I've picked up in my reading: 1. Excess Returns for Momentum: You'll see the number 8% thrown out in a number of places. That is the historical number for long-short portfolios. A long only investor (most of us) should not expect to get that kind of excess return. Larry Swedroe stated 5...
by gatorman
Sun Dec 07, 2014 11:01 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

If you are interested in doing further reading, here is a link to a good bibliography courtesy of AQR:

https://www.aqr.com/library/bibliograph ... strategies

gatorman
by gatorman
Sun Dec 07, 2014 12:45 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148

Re: Any Momentum Investors Out There?

Larry Swedroe has written a lot about momentum. Here is a sampling: http://www.etf.com/sections/index-investor-corner/23165-swedroe-the-mystery-of-momentum-.html http://www.etf.com/sections/index-investor-corner/22795-swedroe-is-momentum-faltering-part-i.html http://www.etf.com/sections/index-invest...
by gatorman
Sun Dec 07, 2014 6:04 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 104
Views: 8148
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