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	<title>CXO Advisory &#187; Momentum Investing</title>
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			<item>
		<title>Momentum Winners and Trading Calendar Updates</title>
		<link>http://www.cxoadvisory.com/11261/fundamental-valuation/market-models-update/</link>
		<comments>http://www.cxoadvisory.com/11261/fundamental-valuation/market-models-update/#comments</comments>
		<pubDate>Tue, 31 Jan 2012 22:00:18 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Fundamental Valuation]]></category>
		<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=11261</guid>
		<description><![CDATA[We have updated the Market Models summary as follows: Extended the Earnings Forecast through the end of 2012 based on an estimate of actual earnings for the fourth quarter of 2011. Extended regressions/rolled projections by one month based on data available through January 2012. Updated backtest charts and the market valuation metrics map based on data <a href="http://www.cxoadvisory.com/11261/fundamental-valuation/market-models-update/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
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		<title>Momentum Investing for Currencies? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/13612/momentum-investing/momentum-investing-for-currencies/</link>
		<comments>http://www.cxoadvisory.com/13612/momentum-investing/momentum-investing-for-currencies/#comments</comments>
		<pubDate>Mon, 23 Jan 2012 11:12:39 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=13612</guid>
		<description><![CDATA[Does momentum investing work for currencies as it does for equities? In the December 2011 version of their paper entitled &#8220;Currency Momentum Strategies&#8221;, Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf investigate momentum strategies in foreign exchange (FX) markets. FX markets are generally more liquid than equity markets, with huge transaction volumes, low trading <a href="http://www.cxoadvisory.com/13612/momentum-investing/momentum-investing-for-currencies/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Simple Asset Class ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19039/momentum-investing/simple-asset-class-etf-momentum-strategy-robustnesssensitivity-tests/</link>
		<comments>http://www.cxoadvisory.com/19039/momentum-investing/simple-asset-class-etf-momentum-strategy-robustnesssensitivity-tests/#comments</comments>
		<pubDate>Fri, 20 Jan 2012 17:04:59 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19039</guid>
		<description><![CDATA[How sensitive is the performance of the &#8220;Simple Asset Class ETF Momentum Strategy&#8221; to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following eight asset class exchange-traded funds (ETF), plus cash, on past return and rotates to the strongest class: PowerShares DB Commodity Index Tracking (DBC)iShares <a href="http://www.cxoadvisory.com/19039/momentum-investing/simple-asset-class-etf-momentum-strategy-robustnesssensitivity-tests/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/19039/momentum-investing/simple-asset-class-etf-momentum-strategy-robustnesssensitivity-tests/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Doing Momentum with Style (ETFs) Robustness/Sensitivity Tests [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/</link>
		<comments>http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/#comments</comments>
		<pubDate>Fri, 20 Jan 2012 15:06:24 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19129</guid>
		<description><![CDATA[How sensitive is the performance of &#8220;Doing Momentum with Style (ETFs)&#8221; to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following six style exchange-traded funds (ETF) on past return and rotates to the strongest style: iShares Russell 1000 Value Index (IWD) &#8211; large capitalization <a href="http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Simple Sector ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/4474/momentum-investing/simple-sector-etf-momentum-strategy-robustnesssensitivity-tests/</link>
		<comments>http://www.cxoadvisory.com/4474/momentum-investing/simple-sector-etf-momentum-strategy-robustnesssensitivity-tests/#comments</comments>
		<pubDate>Fri, 20 Jan 2012 11:06:51 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com.php5-14.websitetestlink.com/?p=4474</guid>
		<description><![CDATA[How sensitive is the performance of the &#8220;Simple Sector ETF Momentum Strategy&#8221; to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following nine sectors exchange-traded funds (ETF) on past return and rotates to the strongest sector: Materials Select Sector SPDR (XLB) Energy Select Sector <a href="http://www.cxoadvisory.com/4474/momentum-investing/simple-sector-etf-momentum-strategy-robustnesssensitivity-tests/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Amplifying Momentum with Negatively Correlated Funds? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18860/momentum-investing/amplifying-momentum-with-negatively-correlated-funds/</link>
		<comments>http://www.cxoadvisory.com/18860/momentum-investing/amplifying-momentum-with-negatively-correlated-funds/#comments</comments>
		<pubDate>Tue, 17 Jan 2012 11:05:06 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18860</guid>
		<description><![CDATA[In the brief August 2011 paper entitled &#8220;Paired-switching for Tactical Portfolio Allocation&#8221;, flagged by a subscriber, Akhilesh Maewal and Joel Bock investigate the efficiency of a simple momentum strategy applied to pairs of exchange-traded funds (ETF) with negative return correlations. Every 13 weeks (four times per year), they rank the performances of the two funds over <a href="http://www.cxoadvisory.com/18860/momentum-investing/amplifying-momentum-with-negatively-correlated-funds/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Simple Asset Class ETF Momentum Strategy [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18886/momentum-investing/simple-asset-class-etf-momentum-strategy-performance/</link>
		<comments>http://www.cxoadvisory.com/18886/momentum-investing/simple-asset-class-etf-momentum-strategy-performance/#comments</comments>
		<pubDate>Mon, 16 Jan 2012 11:04:50 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18886</guid>
		<description><![CDATA[Does a simple momentum strategy applied to tradable asset class proxies produce attractive results? To investigate, we test a simple strategy on the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR Gold Shares (GLD)iShares Russell 1000 Index (IWB)iShares Russell 2000 Index (IWM)SPDR Dow Jones REIT (RWR)iShares <a href="http://www.cxoadvisory.com/18886/momentum-investing/simple-asset-class-etf-momentum-strategy-performance/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18886/momentum-investing/simple-asset-class-etf-momentum-strategy-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Simple Sector ETF Momentum Strategy [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/4400/momentum-investing/simple-sector-etf-momentum-strategy-performance/</link>
		<comments>http://www.cxoadvisory.com/4400/momentum-investing/simple-sector-etf-momentum-strategy-performance/#comments</comments>
		<pubDate>Sat, 14 Jan 2012 13:30:28 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com.php5-14.websitetestlink.com/?p=4400</guid>
		<description><![CDATA[Do simple momentum trading strategies applied to major U.S. stock market sectors outperform reasonable benchmarks? To investigate, we apply three simple momentum strategies to the nine sector exchange-traded funds (ETF) defined by the Select Sector Standard &#38; Poor&#8217;s Depository Receipts (SPDR): Materials Select Sector SPDR (XLB) Energy Select Sector SPDR (XLE) Financial Select Sector More... <a href="http://www.cxoadvisory.com/4400/momentum-investing/simple-sector-etf-momentum-strategy-performance/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/4400/momentum-investing/simple-sector-etf-momentum-strategy-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>ETF Momentum Strategy Updates/Extension</title>
		<link>http://www.cxoadvisory.com/18962/momentum-investing/etf-momentum-strategy-updatesextension/</link>
		<comments>http://www.cxoadvisory.com/18962/momentum-investing/etf-momentum-strategy-updatesextension/#comments</comments>
		<pubDate>Fri, 13 Jan 2012 19:02:19 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18962</guid>
		<description><![CDATA[Over the past few days, in the background, we have updated and rationalized &#8220;Simple Sector ETF Momentum Strategy&#8221; (update pending) and &#8220;Doing Momentum with Style (ETFs)&#8221; (update just published). Updated means adding data for December 2011. Rationalized means making the two analyses more similar in data processing and presentation approaches. We have also put together, and will soon <a href="http://www.cxoadvisory.com/18962/momentum-investing/etf-momentum-strategy-updatesextension/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/18962/momentum-investing/etf-momentum-strategy-updatesextension/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Doing Momentum with Style (ETFs) [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/</link>
		<comments>http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/#comments</comments>
		<pubDate>Fri, 13 Jan 2012 19:01:00 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/size-effect/doing-momentum-with-style-etfs/</guid>
		<description><![CDATA[&#8220;Beat the Market with Hot-Anomaly Switching?&#8221; concludes that &#8220;a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their own kind of momentum.&#8221; Does momentum therefore work for style-based exchange-traded funds (ETF)? To investigate, we apply <a href="http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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