Editor’s note: This was originally published at “Flirting with Models” on May 22, 2017 and is reprinted here with permission. Summary • Momentum-based sector rotation is a popular investment strategy. • Recent academic studies have shown that alternative implementations of standard momentum – including risk-adjusted momentum, residual momentum, and “frog-in-the-pan” momentum – can significantly improve the risk-adjusted and total return potential of stock-based momentum systems. • We explore whether these approaches create value for sector rotation systems. Momentum is a system of investing that buys and sells securities based upon recent returns.  Momentum investors buy outperforming securities and avoid – or sell short – under-performing ones. In the traditional academic implementation of momentum, hundreds of individual securities must be bought and sold. One popular – albeit simplified – implementation of this approach is sector rotation, where investors implement a momentum strategy through industry groups or sectors. In a past commentary[1], we demonstrated that sector rotation was entirely

The Socionomics Institute recently announced that a paper by Matt Lampert, Alyssa Hayden and Alan Hall was accepted for publication in the Journal of Behavioral Finance & Economics. The publication of Behavioral Finance Beyond the Markets: A Real-Time Case Study of Russia’s Military Resurgence demonstrates the acceptance of socionomics within the academic community. Socionomic theory proposes that social mood manifests across the spectrum of social behavior, from the movements of stock market indexes to the leaders we elect to the songs we choose to hear and even to changes in the social propensity toward peace or war. In the paper, the authors present a case study tracking the real-time socionomic analysis of the Russian Trading System Index (RTSI) and Russia’s military resurgence from 2007 to 2016. The paper illustrates the utility of the theory for anticipating the character of social actions that express swings in social mood.  The roots of the

Editor’s note: this article demonstrates a different perspective on income and was originally published as a white paper at the Cambria Investments web site. In the paper, the authors illustrate the different considerations involved in the investment selection process. Are you having the following argument with yourself? “I need an investment that’s going to provide me not only income, but growth too. Unfortunately, investors have been piling into dividend funds for years now in their search for yield. I’m worried that this has left me few reasonably-valued opportunities. If I invest in a potentially overvalued dividend fund today and this 8-year bull market finally runs out of steam tomorrow, then I’m risking serious losses. On the other hand, keeping my money on the sidelines is returning me zero. Is there an answer?” As I’m about to show you, yes, I believe there is an answer – and a good one. Income and growth

The storming of the White House by Donald Trump last November created not just the usual ripples on a change in U.S. leadership but many shockwaves both at home and abroad as the world holds its breath waiting for the ‘New Normal’ to emerge. For those trying to get a handle on what to expect over the next four or more years the early months of the Presidency have been a little perplexing to say the least. Differences have emerged between Mr. Trump’s isolationist pre-election rhetoric and some of his actions in the Oval Office, particularly in the field of foreign policy which has seen unilateral action in Syria, strong assurances given to NATO and the ramping up of stakes with North Korea. Despite all the confusion and contradictions witnessed so far it is worth pointing out that while in what used to be called ‘the free world’ the leader of the