Trend Following

Smart Money Indicator Rebuttal

In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the [...]

Trend Following is Everywhere

Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend [...]

Time Series Momentum: Theory and Evidence

Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications Valeriy Zakamulin and Javier GinerWorking paper, University of Agder and University of [...]

Combining Momentum with Long-Term Reversal

Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the [...]

Trend-Following Filters: Part 1/2

1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order [...]

Trend-Following Filters – Part 2/2

1. Introduction Part 1 of this analysis, which is available here, examines filters modeled on second-order processes from a digital signal processing (DSP) perspective to [...]

Trend-Following Filters – Part 3

Introduction This is the third article in a series of three, the first two are available here and here. Those articles focus on examining from [...]

Trend-Following Filters – Part 4

This article considers a different type of filter called the Kalman filter. The Kalman filter is a statistics-based algorithm used to perform the estimation of random processes. Our research will explain what Kalman Filters are and utilize them with financial time series data for trend following purposes.

The Best Strategies for Dealing with Inflation? Factors and Trend-Following

Inflation -- what's that? ... It has been quite a while since inflation has been considered a problem. Today, however, the angst surrounding the possibility of a resurgence in inflation is real and “top of mind” for investors.   If the current fear becomes a reality, how should investors react? What strategies and asset classes perform well in a rising inflationary environment? If inflation does resurge beyond a temporary phase, how should investors restructure or reposition their portfolios? The purpose of this article is to provide context for those decisions.

Trend-Following Filters – Part 5

There are two general types of Kalman filter models: steady-state and adaptive. A steady-state filter assumes that the statistics of the process under consideration are constant over time, resulting in fixed, time-invariant filter gains. The gains of an adaptive filter, on the other hand, are able to adjust to processes that have time-varying dynamics, such as financial time series which typically display volatility and non-stationarity.

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