technical analysis from the perspective of an asset owner
TRANSCRIPT
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
