the growing importance of momentum
TRANSCRIPT
The Growing Importanceof Momentum
| www.trendrating.com
ABOUT US
Trendrating provides price momentum analytics to fund managers helping them to achieve increased profits and to control risk. Based on eight years of breakthrough research, our model systematically captures trends early and accurately. Our clients use Trendrating as a complement to their existing strategies to deliver superior results. Leading asset managers around the world rely on our model and software and The London Stock Exchange has selected Trendrating as a strategic partner with which to build a new family of momentum indices.
CURRENT STATE OF THE INVESTMENT FUND INDUSTRY“It’s pretty clear that
active managers haven’t
performed above their benchmarks
”CEO
AllianceBernstein
Assets are Shifting Away from Active Funds into Passive Funds 72% of Mutual Funds underperform their benchmark (S&P SPIVA)
$15Bn pulled from Hedge Funds in 2016 due to bad performance and high fees (Financial Times)
Assets in actively managed funds may have to shrink by as much as 30 percent to restore their ability to beat indexes (Bloomberg)
U.S. DOL requirements will increase retirement account investments in low-fee investments like index funds (Bloomberg)
Active Managers Can Fight This By: Eliminating human behavioral bias by relying on technology for improved market and risk
analysis Using a multi-factor approach (Value, Size, Quality, Momentum, Low Volatility) to
systematically capture alpha or smart beta Lowering operational costs by leveraging cloud-based alpha generation solutions
SUCESSFUL INVESTING INVOLVES CAPTURING TRENDS
“The inability to spot trends is why so many who rely solely
on fundamentals have been annihilated in the past decade”Paul Tudor
Jones
Too Many Active Managers Miss Key Trends Stocks prices are less and less connected to solid fundamentals as market structure and
technology changes have moved the focus to liquidity flow A stock with great fundamentals may take quarters to rise before its value is recognized Analysts adjust forecasts after big moves, restating the obvious
Trendrating Avoids These Pitfalls: By not needing to know “why” a stock is moving. Our complex model reacts to moves and
filters noise By not predicting the future and forecasting the unknown By knowing that forecasting trends is impossible, but following trends is possible and
lucrative By relying on recent research and technology to open up a new frontier for active managers
to incorporate actionable momentum analytics easily and cost effectively
THE EFFECITIVENESS OF MOMENTUM IS VALIDATED BY YEARS OF ACADEMIC RESEARCH & ADOPTION IS GROWING“Stocks with
low returns over the past year tend to
have low returns for the
next few months, & stocks with high past
returns tend to have high
future returns”Eugene Fama & Kenneth French
MOMENTUM DELIVERS SUPERIOR RISK-ADJUSTED RETURNSDozens of Academic Studies Have
Concluded that
Momentum Produces the Best
Risk-Adjusted Returns Source: Kenneth R. French data library
(Date Range: 1963 –2015)
WHEN DOES THE MOMENTUM FACTOR WORK BEST? “The
combination of value &
momentum results in a significantly
higher Sharpe ratio than either strategy alone and makes the portfolio less
volatile”Blitz, Huij,
Lansdorp & Pim van Vilet
Source: David Blitz, “Strategic Allocation to Premiums in the Equity Market”, Journal of Index Investing
(Date Range: 1927 – 2012)
The Diversification Potential of Momentum in a Factor Portfolio is Significant
WAYS TO BENEFIT FROM MOMENTUMBehavioral Benefits Eliminates the “Disposition Effect” Controls emotional bias Offsets ego-driven forecasting
“I see momentum analysis as a continuing process of trying to
uncover and admit to your
inevitable mistakes as a
money manager.”
CEOJAG Capital
Functional Benefits Idea validation & generation Portfolio risk control Tactical allocation Strategy optimization
TRENDRATING HAS THE MOST ACCURATE MOMENTUM MODELThe Next Generation of Momentum Models
Self-Adjusts Monthly
Excellent Track Record
Quickly Identifies Trends
Measures Strength & Duration of Trends
Filters Out False Moves
Effective in Most Market Conditions
TRENDRATING SOLUTIONS
Web-based Momentum Analytics Platform
TRENDRATING SOLUTIONS
Data Feed
Ways to Incorporate our Accurate Momentum Ratings Data
Create ETF Products that outperform benchmarks Include in research reports to broaden the scope Integrate into proprietary portfolio systems to generate alerts and strengthen risk control Boost performance of bespoke quantitative models Enhance charting packages by displaying ratings
Trendrating Feed is a file delivery solution utilizing FTP to deliver ratings data that helps clients enhance their proprietary analytics, financial portals, decision support systems, and more. Up to 15 years of historical ratings data is available by region (The Americas, EMEA, Asia Pacific).
TRENDRATING IS TRUSTED GLOBALLY
A Sampling of Our Clients Our Partners
CONTACT US
The longer you wait, the more opportunities you will miss. If there is a major trend developing, Trendrating will find it!
LONDONPhone: +44-203-705-2246Email: [email protected]
48 Warwick StreetLondon, W1B 5AW United Kingdom
BOSTONPhone: +1-508-315-6313Email: [email protected]
275 Grove StreetNewton, MA 02466 USA
LUGANOPhone: +41-91-91-06-590Email: [email protected]
Via Cantonale 19Lugano, CH-6900