http://www.etf.com/sections/index-inves ... nopaging=1
The addition of TS Momentum to a portfolio should improve its efficiency due to it's lack of correlation to both stocks and bonds. I strongly recommend the paper from AQR that Larry links: the smile curve and it’s performance in 8/10 prior equity bears really got my interest.
https://www.aqr.com/-/media/files/paper ... esting.pdf
TS Momentum is a behavioral factor. It is explained by several well known behaviors. It is pervasive across multiple asset classes as well. It is particularly useful for its behavior in extreme bears. TS Momentum is quite tax inefficient. Generally, it should be held in tax deferred accounts. If one is looking to increase risk, expected return, and efficiency of a taxable portfolio though, he might consider taking from municipal bonds to create the position. Despite tax inefficiency, the after tax yield should still be greater than municipal bonds.
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