On 2008-10-21 14:23:43 -0700, beliavsky[at]aol.com said:

- quote -

That is such a clear, concise description of how to make money
investing in the stock market, it is hard to see how anyone who can
read plain English would fail to be convinced by it and would pass up
an opportunity for investment success by following those simple steps.

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<beliavsky[at]aol.com> wrote
- quote -

Full paper at
http://www.dorseywrightmm.com/downlo...wardWinner.pdf

When the authors re-do their research to include transaction
costs, fund fees, taxes and so on, then what they find might
be interesting. Until then, their thesis has not been
tested.

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Vanguard has an advertisement that says

"Simple truth: performance chasing is a losing investment strategy"

Apparently they are too lazy to test their statements before making
them, as the following paper on style momentum shows:

http://papers.ssrn.com/sol3/papers.c...act_id=1276815
Using Style Index Momentum to Generate Alpha
Samuel L. Tibbs
East Carolina University - Department of Finance
Stanley G. Eakins
East Carolina University - College of Business
William DeShurko
401 Advisor, LLC
Journal of Technical Analysis, Forthcoming
Abstract:
Russell style indexes exhibit significant momentum, particularly after
medium term out- and underperformance. The existence of this momentum
produces a diversified, index-based low-cost means to exploit momentum
by incorporating relative style index performance into tactical
allocation strategies. Such style index momentum trading strategies
have outperformed on both a raw and risk-adjusted return basis, with
the long minus short portfolio generating an average 9.25% annual
return over the 34-year period analyzed. Although the excess returns
vary, they are robust through time and after controlling for
potentially confounding effects. Additionally, the returns are not
driven by any single style index and portfolio reconstruction is, on
average, required every six months.
Keywords: Momentum, Style Investing
JEL Classifications: G14

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