#1 – Asset Class Trend Following
#2 – Asset Class Momentum – Rotational System
#118 – Time Series Momentum Effect
#137 – Trendfollowing in Futures Markets
#220 – Momentum and Trend Following in Global Asset Allocation
Hutchinson, O'Brien: Is This Time Different? Trend Following and Financial Crises
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2375733
Abstract:
Following large positive returns in 2008, CTAs received increased attention and allocations from institutional investors. Subsequent performance has been below its long term average. This has occurred in a period following the largest financial crisis since the great depression. In this paper, using almost a century of data, we investigate what typically happens to the core strategy pursued by these funds in global financial crises. We also examine the time series behaviour of the markets traded by CTAs during these crisis periods. Our results show that in an extended period following financial crises trend following average returns are less than half those earned in no-crisis periods. Evidence from regional crises shows a similar pattern. We also find that futures markets do not display the strong time series return predictability prevalent in no-crisis periods, resulting in relatively weak returns for trend following strategies in the four years immediately following the start of a financial crisis.
#188 – Short-term Adaptive Reversal in S&P 500 Index
The IBS Effect: Mean Reversion in Equity ETFs
http://qusma.com/wp-content/uploads/2013/09/The-IBS-Effect-Mean-Reversion-in-Equity-ETFs.pdf
Abstract:
I investigate mean reversion in equity ETF prices at the daily frequency by employing a simple technical indicator, Internal Bar Strength (IBS). IBS is based on the position of the day’s close in relation to the day’s range. I use it to forecast close-to-close returns with statistically and economically significant results for most instruments. A simple strategy based on IBS generates an average alpha of over 30% p.a. before transaction costs. I show that equity index ETFs have had strong and consistent mean reverting tendencies since the 90s, and that these effects can be exploited as part of a profitable trading strategy. The IBS effect is stronger during times of high volatility, in bear markets, after high-range days, after high-volume days, and early in the week.
#38 – Accrual Anomaly
#45 – Short Interest Effect – Long-Short Version
#46 – Short Interest Effect – Long Only version
#52 – Asset Growth Effect
#62 – Shorting Overvalued Stocks
Beneish, Lee, Nichols: In Short Supply: Equity Overvaluation and Short Selling
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2362971
Abstract:
We use detailed security lending data to examine the relation between short sale constraints and equity overvaluation. We find that stocks’ “special” status exhibits a nonâ€linear (Uâ€shaped) relation with their short interest ratio (SIR), and that a stock’s special status, rather than its SIR, predicts negative returns. We show that shortâ€sellers trade on a variety of firm characteristics and against high sentiment. Specifically, we find: (1) the abnormal returns to the shortâ€side of nine market ‘anomalies’ identified in prior work are attributable to special stocks; and (2) future negative returns to special stocks are directly related to the lendable inventory in each stock rather than to its shares borrowed. Overall, our results suggest returns to the short side of documented ‘anomalies’ may not be obtainable without significant cost, and that the supply (available inventory) of lendable shares is the primary binding constraint to informational arbitrage in the case of equity overvaluation.
