Trendrating White Papers

Momentum investing if handled with discipline based on statistically proven methodologies can be hugely rewarding. A recent research paper, Fact, Fiction and Momentum Investing by Moskowitz, Asness and Israel (May 2014), shows that managers can improve the efficiency of their portfolios by incorporating momentum strategies.

An ever growing amount of academic research proposes that relative returns can determine whether future price performance will be above or below the market’s return, expressly over the next six to 12 months. For the past 20 years academic studies have repeatedly shown that, on average, shares that have performed well in the recent past continue to do so for some time. Longer-term studies have confirmed a momentum effect which has existed for well over a century. The research found Momentum in over 40 global markets across a dozen asset classes. The findings point towards Momentum existing inherently in all markets.

Many fund managers have turned a blind eye to Momentum. It could stand to reason that without a systematic approach and the proper tools, portfolio managers have had no way to test Momentum strategies and measure the results. Trendrating has solved this dilemma by developing a robust and objective methodology to measure medium to long-term price trends for any instrument, portfolio or index.

Trendrating White Papers on Momentum

Market Return Dispersion & Opportunities For Active Managers

Arun Soni – Global Head of Strategy

Markets exhibit significant return dispersion in all types of market conditions and Trendrating’s assertion is that this cross-sectional dispersion in returns makes a compelling case in support of active management as the opportunities to outperform underlying benchmarks is real. Yet according to SPIVA, 80% of US active funds and 79% of European funds underperform their respective benchmarks. 

PMR – Portfolio Momentum Rating & Dynamic Risk Management

Arun Soni – Global Head of Strategy

This paper presents a 15 year analysis of the time varying rating of a Global Market Portfolio and its linkage to returns over subsequent holding periods we also document the same for the Developed Europe & USA regional market portfolios.