Sunday links: moving momentum

27Aug06

Thanks to those of you who noted our absence. We are back at Abnormal Returns HQ and we apologize in advance if any of these items seem (at all) dated.

CXO Advisory Group points to an interesting paper that examines the subtleties involved in implementing momentum-based strategies.

Frank Minssieux at TheStreet.com examines the “guiding principles” behind trend-following strategies.

Moving averages are a common component in many investment strategies. Brett Steenbarger at TraderFeed looks at the value of moving averages and has some surprising findings for “naive” trend followers.

J. Alex Tarquino in the New York Times looks at the downside for individual investors of the proliferation of narrowly defined ETFs.

Going Private looks at the relationship between self-selection and credit ratings for so-called LIPO transactions.

Is talk of a Microsoft (MSFT) going private deal the sign of a top in the private equity boom? (via BusinessWeek.com) We on the other hand still favor a break-up of the software giant.

Speaking of going private transactions, Martin Fridson writing at Barron’s notes the role of “regulatory arbitrage” and “hidden leverage” in the HCA transaction.

Mark Hulbert in the New York Times reviews some research on what accounts for the remaining home country bias in a globalized world.

Adam Warner at the Daily Options Report has been on the Pluto beat this week. We would be buyers of Pluto, the planet, given prior findings that stocks that get kicked out of a major index often outperform the index itself.

Suzanne McGee at Barron’s looks at the growing popularity of, and changing nature of portable alpha strategies. We were particularly taken by this quote:

“Finding alpha is more important than ever, but it hasn’t become any easier,” cautions Russell’s Blackwell. “And the cost is rising.”

The Economist examines some research on the relationship between “stock spam” and stock prices.

James Hamilton at Econbrowser has some more thoughts on the housing slowdown.

David Leonhardt and Vikas Bajaj in the New York Times look at the possible paths for the housing economy.

Ticker Sense points to the Kirk Report interview with Laszlo Birinyi on his investment process.

Brett Steenbarger takes an in-depth (and wide-ranging) look at the “Market Blogosophere” including his take on the characteristics of a good market blog.

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