…numerous academic studies and white papers backing-up the robustness of the momentum factor. The knocks against momentum, however, are that often times these strategies are ultra-high in turnover, making them…
Search Results for: factor
The Balance Between Simple and Complex in Investing
…value in their 3-factor and 5-factor models, they only used one variable. They found that using the Price/Book ratio to identify value stocks resulted in excess return over long periods…
BlackRock Bets on Momentum Strategy Comeback
…tend to power rallies like tech” According to Holly Framsted, head of U.S. factor ETFs for BlackRock’s index investments group, “We find that relative strength on momentum continues to be…
Five Methods for Intangible Asset Valuation
…factor relative to the intangible asset. The following chart summarized the models: The article concludes: “In today’s economy, the value provided by intangible assets must be captured in enterprise valuation….
Value Investing: Has it Gone Out of Style?
An article on the WisdomTree blog reports that the decade ending September 2018 was the “single worst decade in history” for price-book as a factor-sort of the market and asks,…
Five Questions: Machine Learning in Investing with Kevin Zatloukal
…factor-based strategies and other strategies that invest using company fundamentals. Despite spending a lot of time studying AI, I am still very new to it, so I am certainly not…
Where Has All the Alpha Gone?
…Management described this idea in the context of factors in their paper Alpha Within Factors. The point they made in the paper is that investing using standard factors is settled…
New Study Shows Good Companies Often Make Bad Investments
…that unpopular stocks are usually avoided for a reason. “Investing in unpopular assets is hard” it concluded, adding that “any strategy or factor that is widely enough used will fail.”…
Gundlach Favors a Gold Stock Fund
…He says that China is a factor in this, but that EM has been broadly outperforming the U.S. in recent months. He notes that gold performs well when the dollar…
The Cons of Market Cap-Weighting
An article in Morningstar discusses the downside of using market-cap-weighted indexes, noting that within certain markets or strategies this approach can “compromise diversification and intended factor exposure.” “The assumption that…