Stocks that have significantly increased in value in the recent past (absolute strength winners) continue to gain, and stocks that have significantly decreased in value (absolute strength losers) continue to lose in the near future. Absolute strength momentum does not expose investors to severe crashes during crisis periods, and its profits are remarkably consistent over time. We uncover similar results when we vary the sorting period for cumulative returns between 3 and 12 months.

On Momentum A momentum investing strategy is the rather insane proposition that you can buy a portfolio of what’s been going up for the last 6 to 12 months, sell a portfolio of what’s been going down for the last 6 to 12 months, and you beat the market. Unfortunately...

On second level thinking There is nothing reliable to be learned about making money. If there were, study would be intense and everyone with a positive IQ would be rich. - John Kenneth Galbraith Anyone who thinks it's easy to make money from markets must be a...

On investment process 3 basic ways of thinking about investing. Most firms are driven by one of these, e.g. a quant shop, a macro firm amd a long-short stock picking firm. Macro Recognition of big trends and themes that are hard to capture but affect everything else Fundamental bottom...

On tail risk events As the events of the past few years have shown extreme events, whether financial or natural, are far from uncommon. Surprises have always happened in history and we have tried to design a trading system that can withstand such surprises. We do...