etfmsolutions: M6 Momentum vs. Mean Reversion...10.13.16

Thursday, October 13, 2016

M6 Momentum vs. Mean Reversion...10.13.16

Today we look at the status of M6's short term forecasts and we find, as in a previous study, that there's no appreciable edge by pursuing either a momentum or mean reversion tactical approach.
The trick of course is in maintaining a diversified long/short beta portfolio. One striking difference between the models is the longer term trend of the #1 ranked positions (eg, AGG) in the me4an reversion model versus the more volatile status of #1 ranked positions in the momentum model.
My own personal preference is for the mean reversion mode since it tends to produce the most reliable signals even at the expense of lower total returns. Just my opinion...not investment advice.

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