In this article, we revisit the myths regarding the superior performance of market timing
strategies based on moving average and time-series momentum rules. These active timing …

This book provides a comprehensive guide to market timing using moving averages. Part I
explores the foundations of market timing rules, presenting a methodology for examining how …

Providing a more accurate covariance matrix forecast can substantially improve the performance
of optimized portfolios. Using out-of-sample tests, in this article the author evaluates …

Despite the ever-growing interest in trend following and a series of publications in academic
journals, there is a dearth of theoretical results on the properties of trend-following rules. …

The recent literature on stock return predictability suggests that it varies substantially across
economic states, being strongest during bad economic times. In line with this evidence, we …

Despite the widespread popularity of trend-following investing, optimal trend-following in
the presence of transaction costs remains poorly understood. Existing studies on the subject …

In this paper, we provide evidence that the small stock premium is predictable both in-sample
and out-of-sample through the use of a set of lagged macroeconomic variables. We find …

There is much controversy in the academic literature on the presence of short-term trends in
financial markets and the trend-following strategy’s profitability. We restrict our attention to …

In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA)
model for the short and forward interest rates. This model is able to present an …

Several hurdles hamper the commercialization of (scientific) knowledge, especially in Europe.
Both from a financial and operational perspective, opportunities emerge for new business …