NYSE Advance – Decline Volume above 1000 (3 year high)

3 year high for $NYUD: significant money flow, especially into large caps:

https://rrspstrategy.wordpress.com/charts/

NYUD-21-Mar-15

Statistics for last 3 years

1 month return after $NYUD > 500  1.8%

1 month return (all)                           1.2%

Advertisements

3 Factor Dual Momentum: Value, Momentum and Low Volatility (or BAB)

This post looks at Factor* Dual Momentum with 3 factors: Value, Momentum and Low Volatility (or Betting against Beta).  Previous posts covered 2 factors only.

* long portfolios from the factors, rather than the long minus short factors themselves.

Low Volatility data was kindly supplied by reader Paolo but only goes back to 1998, rather than 1950 as the previous tests.

The strategy holds the highest ranked portfolio by 12 month return, if return is greater than zero.  Results are shown for the 2 and 3 factor strategies and the underlying portfolios.

The 3 factor position is shown in the bottom trace as 4 levels:

0 = Cash, 1 = Value, 2 = Momentum, 3 = Low Volatility

Low Volatility is clearly mainly held in 2001 and 2012.

Factor_DM_3

Factor_DM_3_table

Sharpe Ratio and Annual Return are summarized above.

The strategies return similar results except for a period in 2012 when access to Low Volatility allows 3 factor to outperform.

The Value portfolio has the highest returns in some periods (and overall) but a low Sharpe Ratio.

Low Volatility has the highest Sharpe Ratio due to the smooth equity curve and smaller drawdown in 2008.

Value and the 3 factor strategy have the highest returns over the test period.

Factor Dual Momentum status and plea for data

The recent series analyzed Factor Dual Momentum.  US Value and Momentum factor portfolios were tested back to 1950, courtesy of Ken French’s data library.

Portfolios are ranked on 12 month return.  Using VBR and PDP for value and momentum, the current picture looks like this:

vbr-pdp-mar15

The strategy should be invested in PDP as relative 12 month returns are higher and absolute returns are greater than zero.

PLEA FOR DATA:

I wish to re-run the analysis with a low volatility portfolio, back to at least 1980.  This data was on betaarbitrage.com which has now disappeared.  Chris Asness’ site has factors but not portfolios.  If anyone can help, please let me know in the comments.