Sentences with phrase «momentum portfolio»

Without optimization for lower turnover, the 12 - month price momentum portfolio in our study recorded 129 % annualized turnover.

I need to offer a correction on the high yield momentum portfolio I wrote about 3 days ago.

Once again, we observe a large (and highly economically significant) gap between the premium demonstrated by long — short momentum portfolios on paper and the returns earned by live funds.

One strategy is to buy a new momentum portfolio each month, hold it for a month, and then replace it.

Portfolios are rebalanced annually in January, with the exception of momentum portfolios, which are rebalanced monthly.

The fund had major equivalent positions in the Schwab International Small - Cap Equity ETF (SCHC), WisdomTree International SmallCap Dividend Fund (DLS), First Trust Dow Jones Global Select Dividend Index Fund (FGD), iShares MSCI United Kingdom ETF (EWU), PowerShares DWA Industrials Momentum Portfolio (PRN), and Vanguard FTSE Europe ETF (VGK).

Hypothetical portfolios include Ivy Portfolios, ETF Portfolios, High Yield Dividend Champions, Graham Value Stocks, Dual ETF Momentum Portfolios, and Permanent Portfolios.

After spending several years in relative anonymity, the PowerShares S&P Emerging Markets Momentum Portfolio (NYSE: EEMO) is finally getting some attention.

But in bull markets, whipsaw losses and trading lags can constrain the performance of absolute momentum portfolios.

In their August 2016 paper entitled «Trend Following: Equity and Bond Crisis Alpha», Carl Hamill, Sandy Rattray and Otto Van Hemert test several time series momentum portfolios as applied to groups of bonds, commodities, currencies and equity indexes as far back as 1960.

In previous years the Conservative Momentum Portfolio began with a static basket of 14 ETFs.

Another risk is occasional timing miscues that cause a dual momentum portfolio to lag behind its benchmarks.

In their April 2016 paper entitled «Protective Asset Allocation (PAA): A Simple Momentum - Based Alternative for Term Deposits», Wouter Keller and Jan Willem Keuning examine a multi-class, dual - momentum portfolio allocation strategy with crash protection based on multi-market breadth.

Once per month I update a high yield dividend stock momentum portfolio on Scott's Investments.

As winners from the Russell 2000 graduate to the Russell 1000 and losers from the Russell 1000 move down to the small - cap index, fund managers are forced to sell winners and buy losers, thereby creating a negative momentum portfolio (Furey 2001).

And when the trend reverses momentum portfolios get crushed.

AAII Model Portfolios New Rules for Model Shadow Stock Portfolio, Including Momentum The portfolio rules governing market capitalization and industry classification were modified, and a new momentum requirement was added.

Momentum portfolios tend to be highly volatile and a small 10 - stock portfolio will likely accentuate the already large swings.

First, we construct one of the most comprehensive sets of time - series momentum portfolios by extending existing studies in three dimensions: time - series (1974 - 2012), cross-section (71 contracts) and frequency domain (monthly, weekly, daily).

The investment objective of the PowerShares DWA Basic Materials Momentum Portfolio ETF is based on the Dorsey Wright Basic Materials Technical Leaders Index.

Core portfolios are adjusted «when needed» (based on TradeKing's internal criteria), while Momentum portfolios are reviewed on a monthly basis.

One strategy, for example, could involve holding the majority of your money in a conservative Core portfolio, while placing a smaller amount in an aggressive Momentum portfolio.

The fund had major equivalent positions in the PowerShares DWA Industrials Momentum Portfolio (PRN), iShares MSCI Italy Capped ETF (EWI), and WisdomTree Europe Hedged Equity Fund (HEDJ), as well as the aforementioned DFE, UUP and DFJ.

The fund had equivalent positions in the PowerShares DWA Developed Markets Momentum Portfolio (PIZ), PowerShares NASDAQ Internet Portfolio (PNQI), PowerShares QQQ ™ (QQQ), PowerShares Dynamic Large Cap Growth Portfolio (PWB), and VanEck Vectors Biotech ETF (BBH).

But in bull markets, whipsaw losses and trading lags can constrain the performance of absolute momentum portfolios.

The High Yield Momentum Portfolio was designed to be fully invested at all times regardless of market conditions.

But if you and I got together and put a momentum portfolio together today with our best momentum stocks, if we came back two months later to do it again, we would have a different portfolio.

The fund had major equivalent positions in the aforementioned IWN, SPDR ® S&P ® 600 Small Cap Growth ETF (SLYG), SPDR ® S&P ® Regional Banking ETF (KRE), PowerShares DWA Industrials Momentum Portfolio (PRN), iShares U.S. Oil & Gas Exploration & Production ETF (IEO), and iShares PHLX Semiconductor ETF (SOXX).

The momentum portfolios use a time - series formation in which each contract is compared with its own history.

For example, the momentum portfolios exhibit positive correlation across asset classes, suggesting that strategies focused on momentum alone (a path followed by many managed futures funds) forgo the opportunity to significantly improve results through allocating to complementary strategies.

The ETP had equivalent positions in the PowerShares DWA Industrials Momentum Portfolio (PRN), Global X Social Media ETF (SOCL), aforementioned DFJ, PowerShares NASDAQ Internet Portfolio (PNQI), PowerShares Dynamic Leisure and Entertainment Portfolio (PEJ), and PowerShares DWA SmallCap Momentum Portfolio (DWAS).

The commodity long - only (long - short) momentum portfolio is each month long the equally weighted 30 % of commodities with the highest returns over the past 12 months (and short the 30 % of commodities with the lowest returns).

Return increased slightly for growth and large - cap portfolios, whereas value, small - cap, and momentum portfolios had slight reductions in return.

In particular, adding a 15 % exposure to commodity futures results in a reduction of approximately 20 basis points (0.20 %) per month in the returns to the value, small - cap, and momentum portfolios.

So I began playing with stock screeners and making simple value and momentum portfolios.

Yet an analysis of the momentum portfolio netting out trading costs, and one wonders how it is possible that momentum quants are still in business:

Looking over the whole period from 1980 to 2010, the positive momentum portfolio has been a big winner.

That means if you have three Momentum portfolios, each one will be charged a separate 0.25 % annual advisory fee based on their value.

For Momentum portfolios, TradeKing advisors will charge a 0.50 % annual advisory fee.

You need a minimum of $ 500 to build a Core portfolio and a minimum of $ 5000 to build a Momentum portfolio.