No. of Recommendations: 17
Kevin: Wow! Impressive work. If I could put together a post at that level, I'd seriously consider writing a book!

There are a few thoughts that come to mind as I read through your research... not necessarily in any order of importance.

* Granularity is everything. I'm able to easily test granularity in days, weeks, months or even years so I did test a vast # of these and found that anything that is less than a week hurts results, and anything more hurts results more yet. By more, I mean tests I ran from 1 to 8 week granularities. At two or even three weeks it isn't too bad, but once you get out to four or more weeks any out-performance disappears. It seems to me that at least partly, this is what you've confirmed in your test. Why is this important? Simply because momentum in uncorrelated assets needs to identify the switch sooner, not later, and a month, seems to be too late.

* Significant movers are necessary. One of the other things I've noticed is the importance of having assets that have two key characteristics: they are trenders and they are movers. In other words, they have a tendency to sharp movements that result in new trends that continue for some time. Anytime I've put currencies into the mix I've found that returns were hurt. Could it be that this particular asset group does not have these two characteristics? I'm just wondering what it is about them that makes it consistently hurt returns. It may be that there needs to be a sort at the beginning that removes any asset that hasn't seen a move of some significance in say the past three years or so. This is relatively easy for me to test, and I would think in Excel, also feasible. Does the logic in this sound valid?

* Correlation. What has a very low correlation in one period, can change to be highly correlated in another period. It is important to test correlation over a set period of time up to the period of investment / selection. I've found anywhere from one to three years to be optimal. Were you looking at the full history to arrive at the correlation numbers you shared?

* Benchmark. I agree that an equal-weighted basket is a good measure of whether the system truly works or not. But when it comes to investing in the strategy or not, part of the purpose is simply to be invested in something that is not correlated with the rest of my investments. The result of that low correlation will be a dampening of my port's overall volatility that will ultimately enhance my risk-adjusted return. In this sense, it is not so important that RtW beats out the S&P 500 or even an equal weighted basket of the asset group. What matters is that it is putting me into something that moves differently from the rest of my investments. Of course, my testing shows that there is out-performance, no matter what the period tested, but at least in theory, this thought is what interested me most and first when it comes to working on RtW.

Thanks for sharing your research. A remarkable contirbution indeed!
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