Marty Zweig was a regular panelist on Wall Street Week with Louis Rukeyser. He was a technical trader and researcher and was one of the original data/anomaly researchers in an era of simpler stock-market analysis. He tested and invented concepts like the put–call ratio. He had a PhD from Michigan State. He was a follower of legendary investor Jesse Livermore (Livermore, 1940). His newsletter the Zweig Forecast ran for 26 years and during its last 15 years it was rated the best in risk-adjusted performance according to the Hulbert Financial Digest.
In 1997 he stopped the newsletter and went into mutual funds and money management. That was so successful that he was able to purchase a 16-room penthouse with 23-foot ceilings and 17th-century fixtures atop the Pierre Hotel on 5th Avenue in New York, worth $70 million in 2004. Following his death, Zweig’s widow sold the apartment, which had a $47,000 monthly maintenance fee, for $125 million.
Ziemba recalls his appearance on Wall Street Week the Friday before the 1987 stock-market crash,
on Monday October 19, 1987. His face was white as a sheet, he said “I don’t know how much the market
will fall on Monday but it will be a lot,” and it did. He was given credit for calling the crash. Ziemba’s colleague Blair Hull is given some credit for stopping the crash with clever buying to boost prices. Zweig
summarized his models and results in his books (Zweig, 1986, 1987).
Zweig died on February 18, 2013, so he did not have the chance to revise his theories in light of modern markets with very low-interest rates and considerable programmed and high-frequency trading. Ziemba’s colleague John Swetye has been using Zweig’s ideas in this recent era, and this paper is meant to describe the ideas and see how well they work in our current markets with low interest rates and much programming and high-frequency trading. Reese and Forehand (2009) and Lefevre (2014) discuss this era.
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Using Zweig’s Monetary and Momentum Models in the Modern Era