Any Combination Strategies?
Posted in Big Ideas
March 29, 2010
A reader asked: “The more trading strategies developed, the greater the potential for synergy via combinations. Have you analyzed any combination strategies?”
There are examples of combination strategies within CXOadvisory.com. For example, see:
“Combining Value and Momentum Across Asset Classes” and “Combined Value-Momentum Tactical Asset Class Allocation” both combine value and momentum in portfolio formation.
“Doing Momentum with Style (ETFs)” combines momentum, size and value-growth.
“Amplifying Momentum Returns with Idiosyncratic Volatility” combines momentum and the volatility risk premium.
“Beat the Market with Hot-Anomaly Switching?” combines different strategies temporally based on immediate past effectiveness.
“Strategy Test” combines capture of the volatility risk premium with a calendar effect.
The best way to find other combinations on the site is probably to scan the summary conclusions by category via the links in the header.
In general, the more strategies used in combination, the more complex the analysis (and perhaps the greater the risk of data snooping bias). Some research indicates that different anomalies are theoretically interconnected.
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