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Perils of Data Mining
From the time my book was published others have tried to improve upon the book’s Global Equity Momentum (GEM) model. There is nothing wrong with trying to improve on someone’s work. That is how...
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Extended Backtest of Global Equities Momentum
In 2013, I created my Global Equities Momentum (GEM) model. It holds U.S. or non-U.S. stock indices when stocks are strong and uses bonds as a safe harbor when stocks are weak.When my book, Dual...
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Whither Fragility? Dual Momentum GEM
Corey Hoffstein of Newfound Research recently wrote an article called, “Fragility Case Study: Dual Momentum GEM.” Corey starts out by saying my dual momentum approach is the strategy he sees...
View ArticleSeasonality Factor
Our first look at calendar influences was in analyzing the best time during the month to execute dual momentum trades. Studies here, here, and here show that stocks perform best early in the month....
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Best Ways to Use Momentum
There are many ways to use momentum. Some are better than others. Let us look at some of the best approaches.Stock MomentumIn 2018, Dimensional Fund Advisors (DFA) issued a report on the performance...
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A Sensible Approach to Bitcoin
Last year when bitcoin had its fourth drawdown of 80% in the past ten years, I thought It might be a good time to reenter that market.Having traded digital assets in 2017 and 2018, I was familiar with...
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Bitcoin Becomes More Investable
In my last blog post, “A Sensible Approach to Bitcoin”, I reviewed the pros and cons of bitcoin. For reasons given in that article, I regard bitcoin as a high risk, high potential reward trading...
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Bitcoin Alternative: Leveraged Growth Stocks
IntroductionMy research has led me to higher expected returns and increased diversification of my existing models through the addition of a new model using leveraged growth stocks. It does this by...
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Tail Risk Mitigation
Tail risk is the probability that an asset performs far below or far above its average past performance. Tail risk is an investor’s worst enemy. Extreme market moves can lead to changes in our risk...
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How Bonds Can Outperform Stocks Long Term
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An Attractive Alternative to Bitcoin
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