The 2015 edition of the Credit Suisse Global Investment Returns Yearbook is now available here. Trust me, this is a publication you definitely want to download. If you have any concerns about the persistance of momentum over the course of history, turn to page 12 and...

In a September 10, 2014 article on ETF.com, Larry Swedroe blasted tactical asset allocation funds stating that "TAA is just another game where the winners are the product purveyors, not the investors". Swedroe bases his article on TAA funds listed on Morningstar's...

The team at Gestaltu recently published two posts on their site regarding an upcoming paper titled "Tactical Alpha: A Quantitative Case for Active Asset Allocation". Such a paper would be interesting to me as my ETF momentum strategy is based on active asset...

Although I practice systematic trading based on strategies that generate short holding periods I keep an open mind towards other styles of trading.  One particular style of trading that has caught my attention recently is ETF momentum systems that require work on only...

Barry Ritholtz recently interviewed Michael Mauboussin, author of The Success Equation. Among many other topics, the two discussed the role luck plays in trading and how difficult it can be to distinguish between luck and skill when most of the participants are highly...

If you perform a Google search on the phrase "best trading advice" you will get over 200 million results.  That's a lot of advice for a trader! I thought I would share some advice that sounds simple but is actually very comprehensive. I believe it was Australian...

I am disappointed with my trading performance so far this year and have worked hard to determine if there is a problem with my strategies. I have made some small changes but I should be generating better trade performance than I am. Most of my stock strategies are...

The past four years have been incredible for US stocks with the S&P 500 up more than 60%. If we could go back in time to March, 2010 and I gave you the option to 1. buy and hold SPY for four years with you knowing the S&P 500 was about to enjoy a fantastic...

Lately I have had conversations with investors who can't hold back from telling me how well their stocks have performed in recent years. I'm happy that they have done well but can't overlook the time period that they are considering. It is human nature to place more...

If you are a trading system developer, in all likelihood you are aware that survivorship bias plays a role in the veracity of backtest results. How much of an impact this bias has varies based on the time period over which the backtest is conducted, the constituents...