Thursday, November 19, 2015

Momentum versus Mean Reversion,,Part 3....11.19.15

These screen shots look a lot like yesterday's, in fact they are taken from the same data...the difference is that in yesterday's post the results of each model reflect daily rotation into the top 2 ranked positions in equal dollar amounts.
Today's results reflect returns based on daily rotation into the top 1 ranked position only.
When the portfolio of inputs includes both market neutral issues such as XLU and negative beta issues such as SH (SPY inverse) the net results are consistently more attractive and risk buffered when the top 2 inputs are traded.