…modest approach advocated by Asness et al. includes not only the familiar long-term metrics (such as CAPE or Shiller P/E), but also a second, shorter-term, “indicator of momentum.” Rekenthaler states:…
Search Results for: momentum
Securing Alpha From Small-Cap Stocks
…exploited.” They examine small-cap investing according to value, momentum, and quality strategies, noting that “[b]ecause small-cap stocks have high trading costs, implementation skill matters—a lot.” Thus, “[p]assive implementation of investment…
AQR Tests Market Timing Techniques, Helping to Boost Long Term Returns
…two core factors – valuation, measured by the cyclically adjusted PE (CAPE) factor made known by Rober Shiller, and momentum. Drawing on 115-year data, they found meaningful advantages to timing…
Value Portfolio, Meet Big Mo'
…of various strategies has shown that the best approaches historically have included both value and momentum variables. He also cites other studies showing that a combination of value and momentum…
Paulson: Understanding Indisputable Consensus and Unrecognized Themes
…expect. Low inflation: Inflation expectations remain low but the chances for at least moderate inflation are higher today than they have been in the past. The momentum trade: As momentum…
Market Volatility Could Derail Momentum Stocks
…according to a report in Barron’s. Momentum investment strategies invest in companies exhibiting strong price momentum, but that momentum may or may not be supported by the underlying fundamentals, which…
Muhlenkamp Sees Few Values, Lots of Margin Debt
…reasons, market momentum may reverse.” But Muhlenkamp says the US market may be bolstered by low interest rates in Europe and Japan, where investors are getting punished for saving. “If…
Shiller: No Bubble, But US Stocks Very Pricey
…the housing crash, said he didn’t think the housing market is now in “a flaming bubble. … The housing market has had diminishing momentum,” he said. “It’s down to just…
Top Manager: Humility, Discipline Are Key
…being wrong a meaningful percentage of the time.” Donovan and his co-manager “look for stocks trading at discounts to their long-term value, and emphasize momentum in earnings and cash flow…
Why Value Investors Shouldn't Ignore Momentum
“Don’t chase performance” is a lesson any good value investor should have learned. But in a piece for Canadian MoneySaver, Validea CEO John Reese looks at how keying on high-momentum,…