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8/20/2019 PEAD Momentum 29012016
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03/02/2016 2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov YTD Percentile Net Exp Today 1wk before
NDX 7.20% 0.27% 0.27% 71.91% 66.62% Source: Uncia AM
RTY 0.46% 0.71% 0.71% 60.33% 11.45% Contact:
CCMP -1.17% 0.14% 0.14% 82.53% 50.53% [email protected]
SPX 14.90% 0.60% 0.60% 1.93% 53.44%
CCMP + NDX 2.87% 0.20% 0.20%
03/02/2016 2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov YTD
NDX 9.55% 1.04% 1.04%
RTY -1.39% -0.47% -0.47%
CCMP 2.09% -0.15% -0.15%
SPX 13.18% 1.69% 1.69%
CCMP + NDX 4.47% -0.13% -0.13%
Net Exp Gross Exp
-0.03% -0.03% -7.48% 19.54%
0.03% 0.03% -2.00% 14.55%
0.15%
0.15%
The PEAD methodology focuses on the overreaction of the investors on the earnings releases.
In the extremes of the range of the net exposure (5% / 95% percentile), earnings overreactions are likely to be predictive:
-> if investors overreaction focuses more on positive earnings than on negative, it entails a positive net exposure.
-> if investors overreaction focuses more on negative earnings than on positive, it entails a negative net exposure.
Data are retrieved s ince 2003, January, 3rd. Abstract of the paper may be found: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459
The Momentum methodology focuses on trend and momentum detection. This relies on the Stop-Loss methodology developed in-house by Uncia AM
A methodology paper is about to come.
* Should you need more information about the methodology, or to discuss the acamedic paper, contact the author
HighGrowth
SPX
Momentum Strategy Non Market Neutral YTD Performances* (*Earnings periods are cut)
Momentum Strategy Market Neutral YTD Performances* (*Earnings periods are cut)
Strategies face 1% (yr) mgmt fees + 10bps per trade (except CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr), RTY and CCMP 2% (yr). The CCMP+NDX is UCITS compliant.
HighGrowth
SPX
Earnings Overreaction - a
mood signal?*
PEAD Strategy Non Market Neutral YTD Performances
PEAD Strategy Market Neutral YTD Performances
8/20/2019 PEAD Momentum 29012016
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Non Market Neutral YTD Performances
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
YTD Performance: NDX Earnings Strategy
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
YTD Performance: SPX Earnings Strategy
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
YTD Performance: RTY Earnings Strategy
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
YTD Performance: CCMP Earnings Strategy
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Net Exposures per Index
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Net exposure: NDX
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Net exposure: RTY
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Net exposure: CCMP
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Net exposure: SPX
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* If we have 3 buy signals and 1 sell signal during a week, then the overall weekly signal will be +2.
Weekly compilation of buy and sell signal since Jan, 03rd 2003
-10
-8
-6
-4
-2
0
2
4
6
8
10NDX
-10
-8
-6
-4
-2
0
2
4
6
8
10SPX
-10
-8
-6
-4
-2
0
2
4
6
8
10RTY
-10
-8
-6
-4
-2
0
2
4
6
8
10CCMP
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Weekly compilation of buy and sell signal since Year-to-Date
-10
-8
-6
-4
-2
0
2
4
6
8
10
01/01/2016 06/01/2016 11/01/2016 16/01/2016 21/01/2016
NDX
-10
-8
-6
-4
-2
0
2
4
6
8
10
01/01/2016 06/01/2016 11/01/2016 16/01/2016 21/01/2016
RTY
-10
-8
-6
-4
-2
0
2
4
6
8
10
01/01/2016 06/01/2016 11/01/2016 16/01/2016 21/01/2016
CCMP
-10
-8
-6
-4
-2
0
2
4
6
8
10
01/01/2016 06/01/2016 11/01/2016 16/01/2016 21/01/2016
SPX
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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2003-2015 Sharpe
NDX Perf. 1.2% 1.4% 7.0% 10.5% 9.5% 16.5% 0.5% -0.7% 11.5% 9.6% 2.7% -0.3% 7.2% 5.8% 1.27
Vol. 1.9% 3.8% 4.1% 4.3% 4.4% 8.8% 2.9% 2.7% 4.3% 3.9% 3.3% 3.8% 6.4% 4.5%
RTY Perf. -0.6% -0.2% 4.1% 1.2% 9.3% 1.4% - 0.5% -0.1% 9.1% -1.4% 2.8% -2.1% 0.5% 1.8% 0.37
Vol. 1.4% 2.1% 3.3% 6.5% 5.7% 5.7% 1.8% 3.4% 5.4% 3.7% 5.0% 6.1% 7.3% 4.8%
CCMP Perf. 1.5% 9.0% 5.5% 10.8% 12.9% 1.9% 0.8% 5.4% 11.0% -2.0% 5.2% - 6.3% -1.2% 4.0% 0.85
Vol. 1.4% 3.0% 3.2% 5.1% 6.0% 6.9% 2.4% 3.0% 4.8% 4.0% 6.2% 5.6% 6.1% 4.7%
SPX Perf. -2.6% 0.4% 4.9% 5.7% -0.1% 6.9% -6.3% 2.2% 2.6% 5.0% -0.5% 0.6% 14.9% 2.5% 0.52
Vol. 2.9% 5.3% 5.7% 6.7% 4.3% 6.2% 5.6% 3.4% 3.6% 3.8% 2.7% 2.7% 6.2% 4.8%
CCMP+NDX Perf. 1.81% 5.29% 5.91% 10.36% 10.85% 8.26% 0.90% 2.47% 10.54% 3.39% 4.40% -2.63% 2.87% 4.88% 1.36
Vol. 1.21% 2.60% 2.88% 3.42% 4.12% 6.18% 2.06% 2.42% 3.72% 2.74% 3.62% 3.78% 4.97% 3.59%
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2003-2015 Sharpe
NDX Perf. 1.0% 3.5% 7.8% 8.1% 10.4% 6.9% 2.1% 1.5% 10.9% 6.1% 2.7% 1.5% 9.5% 5.5% 1.47
Vol. 1.7% 2.4% 3.8% 4.0% 4.2% 5.7% 3.0% 2.4% 3.5% 3.8% 3.2% 3.6% 5.1% 3.7%
RTY Perf. 0.3% 1.4% 5.1% 3.0% 9.8% -0.4% 1.5% -0.8% 8.1% - 0.7% -0.6% -1.7% -1.4% 1.7% 0.42
Vol. 1.0% 1.7% 3.1% 4.5% 5.4% 4.6% 1.4% 3.2% 4.5% 3.1% 4.8% 5.3% 6.6% 4.1%
CCMP Perf. 2.3% 8.7% 6.5% 9.0% 14.6% -5.1% 3.0% 5.4% 11.6% -2.8% -0.3% -6.4% 2.1% 3.5% 0.86
Vol. 1.6% 2.8% 3.0% 4.6% 5.6% 4.9% 2.4% 3.1% 4.3% 4.0% 4.8% 5.2% 4.8% 4.1%
SPX Perf. -2.4% 1.8% 5.6% 6.8% 0.4% 2.7% -1.7% 4.0% 2.3% 3.1% 1.7% 1.8% 13.2% 3.0% 0.75
Vol. 2.6% 3.9% 4.4% 5.7% 3.7% 4.5% 4.6% 3.3% 2.9% 3.4% 2.7% 2.7% 5.4% 4.0%
CCMP+NDX Perf. 1.79% 6.27% 7.12% 8.45% 11.94% 1.69% 2.47% 2.47% 10.25% 1.59% 1.96% -1.97% 4.47% 4.43% 1.43
Vol. 1.21% 2.21% 2.77% 3.20% 3.81% 3.96% 2.15% 2.26% 3.35% 2.80% 3.22% 3.55% 4.18% 3.10%
These performances have to be perceived as very defensive compared to real market conditions, as the real holding period should be longer than the one used in the simulation. For more explanations, contact [email protected]
Non Mkt-Neutral
Mkt-Neutral
