Recent research links the profitability of a popular day trading strategy, the Opening Range Breakout (ORB), to intraday momentum. In this paper I link the ORB profitability to intraday volatility of the underlying asset and thereby propose intraday volatility as a factor generating time-varying market inefficiencies creating profit opportunities for day traders. When applied to [...]
Asset prices can be predicted and is the foundation of all active management styles. As a money manager I made consistent profits from speculation and my goal as a researcher is, from an academic point of view, to show predictability in asset prices. My first paper is titled; “Assessing the profitability of intraday opening range [...]
It was a long time since my last blog and is good time to update my status. Alongside my PhD candidate position I am happy to say that I since October 2011 offer my services as an independent Hedge Fund Selector and Hedge Fund / Strategy evaluator at Folksam. Picture from the Citywire Fund Selector [...]
Every good story must have an ending. I started out as Analyst 2006 and got Portfolio Manager position in the beginning of 2007. At the time IIG was a classic Fund-of-Fund “Multi-Manager boutique” with global investment mandate managing a couple of long only portfolios and a Fund of Hedge Fund. We had a top down [...]
Commodities have been a great investment in recent years and I have had exposure in commodity futures as well as in commodity related stocks, both as strategic and tactic asset allocation. I have been involved in every type of commodity; precious metals, industrial metals, energy and agriculture. In my long only equity mandate I have [...]
In what Michael Hartnett and Joseph Zidle, strategists at Bank of America Merrill Lynch in New York, have named as “the Great Rotation” much of the money that has recently come out from Emerging economies has gone straight into developed markets. The switch shows increased confidence that growth in the U.S. will support the global [...]
Monthly Q February: Do consistently outperforming fund managers share certain characteristics? Yes I believe that the key characteristic among successful fund managers and traders as well is to view investing as a probability game and invest according to the maximum: “Let your winners run and cut your losses short”. This holds true for all money managers [...]
From Citywire, Buyers markets´ December 2010 / January 2011: Relative Returns vs. Absolute Returns What’s your opinion? 1. Do you think that benchmark-driven investment strategies will eventually be replaced by absolute investment strategies? 2. According to your experience, which relative return managers are set to outperform their benchmarks? 1. I believe that beta and alpha [...]
I find this really interesting. In a study of stock traders, Cambridge University researchers found that the most successful had a relatively long ring finger. According to these experts, the finger-length ratio was boosted by higher levels of testosterone in the womb during a crucial phase of gestation. Traders with long ring fingers made up to 11 times [...]
Do you believe that hedge fund companies launching Newcits funds will be able to easily provide you with the liquidity that UCITS promises? It depends on the hedge fund strategy in question. CTA:s or Managed Futures funds trades mostly futures and since futures usually provides the very good liquidity and no counterparty risk these funds should fit well [...]
