I agree with you that momentum funds are the best instruments to follow this strategy. They are trust entities so very tax efficient. The only problem is they are having very long re-balancing period. If they would have been following atleast 1 month as rebalancing period, I would have stopped doing this DIY. Most research papers show that momentum in stocks , in general sustains over 6 months to 1 year. Hence as opposed to buy and hold strategy where holding long-term is a virtue, in this strategy, holding long term becomes a disadvantage. Are you not worried about momentum decay and getting entangled with stocks with losing momentum, if you hold longer? After all its all going to be short term capital gains only, then why wait for 6 months? Also In Stocks on the Move, by Andreas Clenow, even being a hedge fund, they followed weekly rebalancing so that they are always with high momentum stocks instead of stale momentum…What u say about that?
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