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Technical Analysis From The Perspective Of An Asset Owner
- 1. Technical Analysis From The Perspective Of An Asset Owner Jay Ng, CMT 8 Mar 2016
- 3. 1 Point To Takeaway Momentum Works “Momentum is the premier anomaly” – Eugene Fama
- 4. Asset Owner Investment Framework Investment Policy Strategic Asset Allocation Implementation •Benchmark Selection •Manager Search and Selection Monitoring •Manager Oversight •Portfolio Rebalancing Manager Performance Review Tactical Asset Allocation Overlay Currency Hedging Overlay
- 5. Asset Owner Investment Framework Investment Policy Strategic Asset Allocation Implementation •Benchmark Selection •Manager Search and Selection Monitoring •Manager Oversight •Portfolio Rebalancing Manager Performance Review Tactical Asset Allocation Overlay Currency Hedging Overlay
- 6. Body of Knowledge Study of history – bubbles and crashes Behavioral finance Market breadth analysis Sentiment analysis Volatility analysis Trend analysis Relative strength analysis Chart patterns Business cycles Intermarket analysis System testing Risk management
- 7. Body of Knowledge: Objective Technical Analysis Study of history – bubbles and crashes Behavioral finance Market breadth analysis Sentiment analysis Volatility analysis Trend analysis Relative strength analysis Chart patterns Business cycles Intermarket analysis System testing Risk management
- 8. •5-7 yearsValuation •1-3 yearsMomentum 2 Key Drivers
- 9. Momentum Works “Momentum is the premier anomaly” – Eugene Fama
- 10. A rose by any other names… Absolute Momentum = trend following = time series momentum Relative Momentum = cross-sectional momentum = relative strength
- 11. Absolute momentum has been profitable for the last few decades.. Source: Wellington
- 12. Absolute momentum has been profitable for the last century.. Source: AQR
- 13. Relative momentum has been profitable for the last few decades.. Source: AQR
- 14. Absolute momentum works for asset allocation.. Source: Gary Antonacci
- 15. Absolute momentum works for asset allocation.. Source: Gary Antonacci
- 16. Absolute momentum works for asset allocation.. Source: Mebane Faber
- 17. Relative momentum works for asset allocation.. Source: Gary Antonacci
- 18. Relative momentum works for asset allocation.. Source: Newfound Research
- 19. Relative momentum works for asset allocation.. Source: Mebane Faber
- 20. Be on the right side of the trend, and don’t pay too much while you are at it.. Source: PIMCO
- 21. Absolute Momentum Through Different Interest Rate Cycles.. Source: AQR
- 22. Absolute Momentum Through Different Interest Rate Cycles.. Source: AQR