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Technical Analysis From
The Perspective Of An
Asset Owner
Jay Ng, CMT
8 Mar 2016
1 Point To Takeaway
Momentum Works
“Momentum is the premier anomaly” –
Eugene Fama
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
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
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
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
•5-7 yearsValuation
•1-3
yearsMomentum
2 Key Drivers
Momentum Works
“Momentum is the premier anomaly”
– Eugene Fama
A rose by any other names…
Absolute Momentum
= trend following
= time series momentum
Relative Momentum
= cross-sectional momentum
= relative strength
Absolute momentum has been profitable for the last
few decades..
Source: Wellington
Absolute momentum has been profitable for the last
century..
Source: AQR
Relative momentum has been profitable for the last
few decades..
Source: AQR
Absolute momentum works for asset allocation..
Source: Gary Antonacci
Absolute momentum works for asset allocation..
Source:
Gary Antonacci
Absolute momentum works for asset allocation..
Source:
Mebane Faber
Relative momentum works for asset allocation..
Source:
Gary Antonacci
Relative momentum works for asset allocation..
Source:
Newfound Research
Relative momentum works for asset allocation..
Source: Mebane Faber
Be on the right side of the trend, and don’t pay too
much while you are at it..
Source:
PIMCO
Absolute Momentum Through Different Interest Rate
Cycles..
Source:
AQR
Absolute Momentum Through Different Interest Rate
Cycles..
Source: AQR
Technical Analysis From The Perspective Of An Asset Owner

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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
  • 2.
  • 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
  • 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