Sat, Jul 4, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Ineichen Research launches weekly momentum monitor

Monday, May 13, 2013
Opalesque Industry Update - Ineichen Research & Management AG (“IR&M”) has announced the launch of a new service, the IR&M momentum monitor, a weekly momentum screening as part of its risk management research effort.

The momentum monitor was designed to help investors with risk management, asset allocation, and position sizing. Alexander Ineichen, founder of IR&M said: “Tail events do not always happen out of the blue. Gold collapsed a couple of weeks ago. However, momentum has been very decisively negative many weeks prior to the 8 standard deviation event. Negative momentum makes hedging more important and suggests position sizing should be more conservative.”

Equity markets are currently in a liquidity induced and driven bull market. Risk is on and the sovereign debt crisis seems “like being taken care of” with the authorities doing the hedging. At the moment, “Don’t fight the Fed” is clearly the piece of wisdom most applicable. However, Herbert Stein’s Law might apply too: “If something cannot go on forever, it will stop.” The IR&M momentum monitor will indicate early, as it did with gold, when the tide has changed and a more conservative position sizing and/or hedging is in order. Ineichen: “The screening takes both politics as well as emotions out of the investment decision making and risk taking; which at the moment is probably a good thing.”

The momentum monitor also allows assessing correlation. Ineichen: “QE infinity and the current monetary race to the bottom are lifting all boats. The momentum and tenure of the current trend in for example equities, corporate high yield and hedge funds are nearly identical on the way up. It seems as highly likely that correlation will remain high on the way down too.”

Alexander Ineichen was recently interviewed on Opalesque Radio. You can read about the interview here and listen to it here. Press release

bc

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner