Sat, Nov 1, 2014
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. Macks aim to raise $750m for real estate debt fund[more]

    From Therealdeal.com: Father-son duo William and Richard Mack and former Blackstone Group managing director Peter Sotoloff are starting a new real estate debt fund. Together, the trio hopes to raise more than $750 million for the private equity fund, according to the Wall Street Journal. The fund wi

  2. Manager Profile - Seth Klarman: Lessons for retail and institutional investors[more]

    From Valuewalk.com: Seth Klarman is virtually unknown outside value circles, despite his impressive record and value of assets under management. On average Baupost has returned 19% p.a. despite holding a large portion of its assets in cash. During the financial crisis, Seth Klarman’s funds lost some

  3. North America - FATCA leads 75% of U.S. expats to consider dropping citizenship[more]

    From International-adviser.com: Nearly three quarters of American expats are considering the renouncement of their citizenship following July’s introduction of the “absurd” Foreign Account Tax Compliance Act (FATCA). The findings, which were revealed in a survey by deVere, come alongside the news th

  4. New app allows asset managers easy interaction with portfolios, securities, holdings, transaction details[more]

    Komfie Manalo, Opalesque Asia: Global financial services software company SS&C Technologies Holdings has launched Explorer, a powerful data visualization and analysis tool that turns critical investment data into meaningful information. Explore

  5. Opalesque Exclusive: Mariner’s new healthcare mandate applies strategic approach across pharmaceutical and biotech sectors[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A team of two was hired in February this year t