Whither Fragility? Dual Momentum GEM

Corey Hoffstein of Newfound Research recently wrote an article called, “Fragility Case Study: Dual Momentum GEM.” Corey starts out saying my dual momentum approach is the strategy he sees implemented the most among do-it-yourself tactical investors. Corey then said several investors bemoaned that GEM kept them invested in the stock market during the last quarter…

Perils of Data Mining

From the time my book was published others have tried to improve upon the book’s Global Equity Momentum (GEM) model. There is nothing wrong with trying to improve on someone’s work. That is how progress is made. But if not careful, such attempts can have data mining, overfitting, and selection bias issues. Data mining is…