Extended Backtest of Global Equities Momentum

In 2013, I created my Global Equities Momentum (GEM) model. It holds U.S. or non-U.S. stock indices when stocks are strong and uses bonds as a safe harbor when stocks are weak.When my book, Dual Momentum Investing, was published in 2014, I had Barclays bond index data back to 1973. Since one year of data is […]

Perils of Data Mining

From the time my book was published others have tried to improve upon the book’s Global Equity Momentum (GEM) model. There is nothing wrong with trying to improve on someone’s work. That is how progress is made. But if not careful, such attempts can have data mining, overfitting, and selection bias issues. Data mining is […]

Momentum Solutions for Retirement

by Matthew Richardson, JD, Ph.D. As the surge of boomer retirements continues, commentators have given new thought to what safe withdrawal rates are for retirement accounts.  The topic is especially significant given two additional factors. First, retirement balances are shockingly low for boomers (Ghilarducci 2015)[1].   Second, market fundamentals do not suggest that either bonds or […]

Common Misconceptions About Momentum

Momentum is one of the most researched topics in financial market literature. A search of the SSRN database on momentum will turn up 1000 papers written over the past three years and 3000 papers in total. With so much information available, it is not surprising that many analysts have missed seeing some of the research. Their […]