Cliff and his colleagues lay out some basic tenets that they think are often ignored but that they think any market-timing system — or any test of such a system — should follow.
"Two-step" bets — where investors try to profit from macroeconomic events by anticipating which companies or currencies the events will most likely affect — are usually a bad idea, or at least much less likely to work out than the original macro insight. Here's why.
It seems that now everyone wants to time factors. Indeed, we’d love to as well if we thought it was a very useful endeavor. But, although tempting, in an editorial piece for a special upcoming Journal of Portfolio Management issue focused on quantitative investing — written at the kind request of long-time editor, Frank Fabozzi — I argue that this tempting siren song should be resisted, even if I know some will be disappointed with this view.
Recent reports claim that risk parity investors sold large amounts of equities during the most volatile times in August, contributing to — or even causing — share-price gyrations. In fact, risk parity sellers are not big enough to be significant players in the market correction.
A recent interview with Professor Eugene Fama represents another sign that much confusion about momentum unfortunately remains. While my faith in Professor Fama is exceptionally high, this is one of the few topics where we fundamentally disagree. While debates and discussions about momentum will undoubtedly continue, in this post I’ve tried to sort out fact from fiction by bringing clarity regarding the facts and interpretations about momentum and debunk some myths along the way.