Both individual models applied in the Long/Short Strategy are based on the concept of relative momentum, which involves a monthly ranking process, much like the current US Momentum Strategy. The tendency for trends in stock and ETF3 prices to persist is known as the momentum effect. Initially, our ‘short’ strategy aims to go short on stocks, benefiting if they fall in price. We then sell the stock in question with the intention of buying it back at a later date, with our profit being the difference. The short momentum strategy holds a maximum of 10 stocks from the S&P 500 and the Nasdaq 100. This is coupled with a ‘long’ momentum strategy which is run on a concentrated universe of 10 ETFs, from which we hold the top three. While all of the ETFs are listed in the US, many of them track different global markets. Given that the strategy is both long and short, it is less susceptible to the performance of the overall stock market. Following the last trading day of each month, both models will rank their respective universes based on our measure of price momentum. We will then issue recommendations to buy and sell. Positions are held without a stop loss target, and we will not recommend any buying or selling outside of the end of month[efn_note] Fundamentals are basic qualitative and quantitative information on a company’s well-being. These factors include information on a company’s management, structure, profits, assets and market position. [/efn_note].
The Long/Short strategy can provide positive performance during both bull and bear markets.
*Performance data for the US Long/Short strategy relies on backtested data prior to 1 Aug 2018 and live results post that date **Past performance is no guarantee to future performance. ^Rivkin advise you not to rely solely on back tested data or statistics in order to make any trading decisions. We suggest you contact our relationship managers to arrange access to our live membership site on trial basis. Here you will be able to view all actual historical trading recommendations (and results) provided to clients over the last 20 years which can be used to inform your own assessment of the potential returns based on your individual situation.
The standard deviation (volatility) of the Long/Short strategy is lower than any other of our US based strategies.
*Performance data for the US Long/Short strategy relies on backtested data prior to 1 Aug 2018 and live results post that date **Past performance is no guarantee to future performance
|Item||ASX Value||ASX Blue Chips||ASX Momentum||ASX Income||ASX Event||US Momentum||US Value||US Long/Short||FX & Liquid Market|
|Average No. of Trades Per Year||29||19||24||2||10||48||46||36||120|
|% Positive Months||68%||66%||67%||74%||89%||60%||61%||59%||59%|
|Average Monthly Return||1.38%||0.97%||2.12%||0.22%||0.12%||1.59%||1.24%||1.09%||1.02%|
US Long/Short Trades
|Status||Stock Name||Code||Entry Month||Entry Price||Distributions Paid||Exit Month||Exit Price||Gross Return (%)|
|Closed||Eastman Chemical Co||EMN||Apr-19||$78.67||$0.00||May-19||$78.96||-0.37%|
|Closed||LyondellBasell Industries NV||LYB||Mar-19||$85.11||$0.00||May-19||$88.29||-3.74%|
|Closed||SPDR S&P 500 ETF||SPY||Apr-19||$286.04||$0.00||May-19||$294.76||3.05%|
|Closed||Mohawk Industries Inc||MHK||Apr-19||$127.52||$0.00||May-19||$136.79||-7.27%|
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