Evidence Investing

 
 
Well, with all the recent excitement and the ‘fix’ put in last night by the ECB, it’s been a while since I posted about our momentum research.  So I thought I would go ahead and take the next step in developing our momentum model. 

I hope by now I have convinced you about the existence of momentum as a real phenomenon.   So here is the outline or frame work we will be using in the future to move forward.

1.       How do we measure momentum?

2.       What time period of data do we use to measure momentum?

3.       How often do we rebalance the portfolio?

4.       On what day of the month (week/year) do we rebalance the portfolio?

5.       What universe of securities should we use?

6.       Can we go both long and short?

7.       Should we use a skip month/period?

8.       What can we do to further maximize the model?

We will get to each one of these in turn…and hopefully create something tradable, practical, and profitable!

Remember, each and everyone of these will be answered with evidence and data...we are gonna do this right!  :)
 


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