Research

A collection of interesting and informative research papers from our investment committee

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Research

A collection of interesting and informative research papers from our investment committee

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In this article we explore the small-firm effect using MSCI style indexes for both developed and emerging markets for the period since 1995 and show how overlaying relative momentum and trend following strategies can substantially enhance both absolute and risk-adjusted returns.

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The topic of pension savings and decumulation is of growing importance as companies retreat from defined benefit schemes, leaving investment & withdrawal decisions to individuals. Economists have began proposing creative accumulation and decumulation strategies.

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We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The use of trend following offers an improvement in risk-adjusted performance compared to traditional buy-and-hold portfolios.

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We compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are  popular both among most investors. We find that simple rules, such as a 200-day moving average trading rule, dominate the long only investment in the index.

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We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios that offer attractive risk adjusted returns, are superior to momentum strategies; when we expose these returns to sources of risk we find that robust alpha survives.

WM Capital Management
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WM Capital Management
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