technical analysis from the perspective of an asset owner

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 years Valuation

•1-3 years Momentum

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