Here's a statement of the obvious: The opinions expressed here are those of the participants, not those of the Mutual Fund Observer. We cannot vouch for the accuracy or appropriateness of any of it, though we do encourage civility and good humor.
>>>Very few funds can consistently stay at the top. Our studies show that as time horizons widen, the performance persistence of top quartile managers declines.<<<<
I am a big believer in trend (and fund) persistency but over much shorter time frames than in the enclosed study. Would be curious about 3 and 6 month periods. Would also be curious about a study of bond funds as they seem much more trend (and fund) persistent than equity funds.
Reply to @Junkster: Don't worry the links will keep coming. As an aside, I'm looking to replace ING Group (IGK) 8.50% preferred that got called last week Merry Christmas, Ted
There is a large body of research that shows that momentum works for periods from three to twelve months across many markets. But the three to five year time frame is way too long. I've attached a link to a list of research papers from AQR. The hard part is to trade with zero expenses and try to avoid or minimize slippage from bid-asked spreads. It may be easier to do this in the future as more zero commission ETFs are added.
junkster- Most of the research is on stocks. I didn't see any on junk bonds, but there is one at the end "Value and Momentum Everywhere" that mentions government bonds across countries and currencies.
Comments
>>>Very few funds can consistently stay at the top. Our studies show that as time horizons widen, the performance persistence of top quartile managers declines.<<<<
I am a big believer in trend (and fund) persistency but over much shorter time frames than in the enclosed study. Would be curious about 3 and 6 month periods. Would also be curious about a study of bond funds as they seem much more trend (and fund) persistent than equity funds.
Merry Christmas,
Ted
junkster- Most of the research is on stocks. I didn't see any on junk bonds, but there is one at the end "Value and Momentum Everywhere" that mentions government bonds across countries and currencies.
http://www.aqrindex.com/AQR_Momentum_Indices/Momentum_Research/Content/default.fs