Fri, Apr 28, 2017
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: Ex-Man manager combines sustainable investing with AI/ML[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Dr. Richard Bateson, quant fund manager and physicist, has recently

  2. Hedge funds holding Puerto Rico bonds are looking at a long battle[more]

    Komfie Manalo, Opalesque Asia: Hedge funds which bought Puerto Rico's distressed debt bonds are facing the prospect of a long road ahead to recover their investments as the Caribbean island is attempting to use a U.S. Congress-approved rule that allows it to exploit a bankruptcy-like proceedings

  3. Other Voices: "Winner-take-all" dynamics and hedge fund investing[more]

    A growing stream of thinking in microeconomics is the concept of "winner-take-all" dynamics. The idea seems simple. A combination of networking economics and classic economies of scale creates situations where there are just a few dominant firms or economic agents who are able to capture significant

  4. Investing - How Chipotle's comeback attracted big data robots and value investors alike[more]

    From Forbes.com: When William Ackman's ailing hedge fund Pershing Square Capital Management bet $1 billion on shares in Chipotle Mexican Grill beginning in July 2016, the stakes couldn't have been higher. Pershing Square was reeling from what would eventually be a near $4 billion loss in drugmaker V

  5. Service Providers - Colemore launches fee tracking service for limited partners[more]

    Following Colmore's successful launch in January 2017, the firm has announced the launch of FAIR.. FAIR is designed to help private equity investors independently validate fees and incentives charged by underlying managers, saving time and providing an extra level of comfort. There is a glob