Comments on: Volatility Gremlins http://www.mebanefaber.com/2006/12/04/volatility-gremlins/ Stock Market and Investing Blog of Mebane Faber Tue, 11 Oct 2011 15:24:53 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: tom k http://www.mebanefaber.com/2006/12/04/volatility-gremlins/comment-page-1/#comment-1153 tom k Wed, 06 Dec 2006 15:06:00 +0000 http://www.mebanefaber.com/2006/12/04/volatility-gremlins/#comment-1153 Thanks for posting your momentum research. Very interesting.<br /><br />Tim Hayes of Ned Davis Research (The Research Driven Investor) recommends averaging momentum from several periods. Also, most of the other momentum research I've read seems to indicate that 1 month is about the shortest time frame where the momentum anomaly still works, and 1 year is about the longest. <br /><br />I use a momentum model to rank U.S. sectors and Intl. ETFs - it uses an average of 30 day, 90 day, 180 day, and 253 day (1 year) momentum. I've been using it over the past 3 years and it works very well. Thanks for posting your momentum research. Very interesting.

Tim Hayes of Ned Davis Research (The Research Driven Investor) recommends averaging momentum from several periods. Also, most of the other momentum research I’ve read seems to indicate that 1 month is about the shortest time frame where the momentum anomaly still works, and 1 year is about the longest.

I use a momentum model to rank U.S. sectors and Intl. ETFs – it uses an average of 30 day, 90 day, 180 day, and 253 day (1 year) momentum. I’ve been using it over the past 3 years and it works very well.

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