Comments on: Simple Momentum Rotation

By: asudchiman

asudchiman — Sun, 10 Jan 2010 08:33:16 +0000

idea... When using a mutual fund allocation with restrictions: Why not allocate a minimal % to all funds in an effort to avoid liquidation penalties (would it work?). Rebalance weighting to the Top X funds.

Have you considered weighting the rotational strategy?

ex: 5 Funds
1: 35%
2: 25%
3: 20%
4: 10%
5: 10%

By: asudchiman

asudchiman — Sun, 10 Jan 2010 02:33:16 +0000

By: wher

wher — Sun, 02 Aug 2009 00:32:54 +0000

I haven't checked their track record lately, but makes sense. Thanks for correcting my observation.

By: Damian

Damian — Sat, 01 Aug 2009 23:15:09 +0000

Yes and they got killed with it during the downturn. The strategy does not do well in bear markets in general – too much quick-shifting momentum without longer term trends. Combine with a 200dma and it's more interesting.

By: wher

wher — Sat, 01 Aug 2009 23:05:55 +0000

Mebane,
This is similar to what Janet Brown has been doing successfully for years with her FundX strategy.
“Janet M. Brown, President of DAL and Managing Editor of NoLoad Fund*X, joined DAL in 1978. Janet has been researching funds and developing fund investment strategies for many years. Prior to joining DAL, she worked in Brussels with a major financial services company where she specialized in mutual funds. Janet is frequently interviewed by the media on investment and mutual fund issues. “

By: WorldBeta

WorldBeta — Wed, 24 Jun 2009 21:36:44 +0000

check back soon

By: WorldBeta

WorldBeta — Wed, 24 Jun 2009 21:32:27 +0000

check back tomorrow.

By: jason harris

jason harris — Wed, 24 Jun 2009 21:26:57 +0000

To build on what Andrey wrote: maybe the drawdowns could be reduced by going to cash (or equivalent) when the market goes under the 10-month average at month's end?

By: TraderMark

TraderMark — Wed, 24 Jun 2009 20:57:09 +0000

Mebane, not a statistician here… when you say average rolling are you simply ranking the 23 funds from 1 to 23 based on 3 mo, 6 mo, and 12 mo and whomever has the lowest number (i.e. #1 in 12 mo, #3 in 3 mo, #4 in 6 mo = are the 3 to go with? then rebalance monthly?

the drawdown of 54% is a bit too much for my taste though lol

By: Andrey Shpak

Andrey Shpak — Wed, 24 Jun 2009 11:16:53 +0000

What would the results be if you add the 10-mo-MA filter to the entry (ie no tinvest if the selected fund is below 10-mo-MA)?

I would imagine it would be very easy to test if you already have all the data downloaded in Excel.