{"id":2023811,"date":"2015-05-21T18:57:22","date_gmt":"2015-05-21T13:27:22","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2023811"},"modified":"2015-05-21T19:01:33","modified_gmt":"2015-05-21T13:31:33","slug":"practical-momentum-conclusion","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2015\/05\/21\/practical-momentum-conclusion\/","title":{"rendered":"Practical Momentum – Conclusion"},"content":{"rendered":"

Recap<\/h3>\n

We began the exploration of a practical way to execute momentum using derivatives. We found that:<\/p>\n

    \n
  1. A lookback period of one year works best (Part I<\/a>)<\/li>\n
  2. Because of survivorship bias, long-short underperforms long-only (Part II<\/a>)<\/li>\n
  3. Hedging with single-name put options doesn’t work(Part III<\/a>)<\/li>\n
  4. Larger long-only portfolios have smaller drawdowns and better performance than smaller long-only portfolios (Part III<\/a>)<\/li>\n<\/ol>\n

    Conclusion<\/h3>\n

    The way things stand, Momentum is best executed using a broad basket of stocks. There is no mechanical<\/em> way to maintain a momentum driven derivative portfolio. You can explore long-only equity momentum here<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"

    Recap We began the exploration of a practical way to execute momentum using derivatives. We found that: A lookback period of one year works best (Part I) Because of survivorship bias, long-short underperforms long-only (Part II) Hedging with single-name put options doesn’t work(Part III) Larger long-only portfolios have smaller drawdowns and better performance than smaller … <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3491,2761],"class_list":["post-2023811","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-your-money","tag-momentum","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2023811","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2023811"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2023811\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2023811"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2023811"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2023811"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}