trendrating company overview 2015
TRANSCRIPT
LONDONPhone: +44 (0) 203 7052246Email: [email protected] Warwick Street | London, W1B 5AW
NEW YORKPhone: +1646 589 0464Email: [email protected] Broadway | New York, NY 10038 www.trendrating.com
LUGANOPhone: +41 91 9106590Email: [email protected] Cantonale 19 | Lugano, CH-6900
A NEW PARADIGM IN MOMENTUM INVESTING
COMPANY HISTORY
The Momentum Factor is growing in acceptance as a proven strategy.
Trendrating Momentum Factor Indices are more effective than those commercially available.
www.trendrating.com 3
MOMENTUM ETFs & INDICES ARE ON THE RISE
THE EXISTENCE & POSITIVE IMPACT OF MOMENTUM IS WELL DOCUMENTED
Trend-following has delivered strong positive returns and realized a low correlation to
traditional asset classes each decade for more than a
century.
Trading strategies that buy past winners and sell past losers realized significant abnormal returns over the
1965 and 1989 period.
Recent past winners out-perform recent past losers, which is a
``continuation`` or ``momentum`` effect.
The evidence on the momentum effect seems to persist.
TWO MOST POPULUAR APPROACHES TO CAPTURING MOMENTUM
TREND FOLLOWING SYSTEMS
LEGACY MOMENTUM MODELS
PROS PROS
CONS CONS
Can identify trends quickly
Stable
Good track record at identifying meaningful trends
X Erratic & unreliable in volatile markets
X Results in high turnover
X Ineffective at the portfolio level
X Based on outdated academic methods
X Require 6+ months to engage in a trend, missing out on huge profits
X Late exits give back profits
Successfully implemented by a large following of technical analysts
THE TRENDRATING SOLUTION
TRENDRATING IS BOTH FAST AND STABLE
Identifies trends quickly
Self-adjusting model has excellent track record at spotting prolonged trends
Filters out false moves and breakouts to avoid high turnover
Based on modern theory and technology
Measures strength & duration of trends with high accuracy
Intuitive interface which is affordable to all professional investors
The sooner momentum is identified, the greater the duration of the price move one is able to capture.
Price trends duration tend to distribute as shown in the chart below:
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PROBABILITY OF TREND DURATION
THE QUALITY OF OUR MODEL
MODEL CRITERIA
MODEL OBJECTIVE
MODEL OUTPUT
TRENDRATING DEDICATED FIVE YEARS BUILDING & TESTING OUR MASTER MODEL
• Capture trends lasting from a few months to a few years
• Identify trends early enough to capture up to 66% of price moves
• Filter out market noise (volatility, false break-outs, minor refractments)
• Effective in different markets and economic cycles
• Examined 357 indicators related to momentum
• Universe of 20K instruments from 20 countries
• Minimum market cap of 100 million USD• 24 years of EOD price data for in sample
testing and 6 years for out of sample testing• Found 8 indicators which were 58-62%
reliable• Combined them into a Master Model• Reliability increased to 69% when 6-8
indicators were positive• Added self-adjusting model to factor in
volatility• Final result was a model with 71-80%
accuracy
HOW CUSTOMERS USE TRENDRATING
BENEFITS
Point & Click web based interface
Adds transparency and discipline to the decision support process
The best momentum model commercially available
Proven reliable and used by over 100 portfolio managers
No IT integration required
Helps control portfolio risk and enhance performance
LONDONPhone: +44 (0) 203 7052246Email: [email protected] Warwick Street | London, W1B 5AW
NEW YORKPhone: +1646 589 0464Email: [email protected] Broadway | New York, NY 10038
LUGANOPhone: +41 91 9106590Email: [email protected] Cantonale 19 | Lugano, CH-6900 www.trendrating.com
CONTACT:
JOHN COULTERMANAGING DIRECTOR, NORTH AMERICA
Tel: +1 404 448 1335Mob: +1 415 407 0542