…investors can use to time factors. We discuss: Why most investors should avoid attempting to time factors The common factor timing approaches, including value, momentum, macroeconomic and dispersion Why the…
Search Results for: momentum
Excess Returns, Ep. 23: The Challenges of Multi-Factor Investing
The basic theory of multi-factor investing is pretty simple. It has been widely proven that factors like value and momentum can outperform the market over long periods of time. But…
A Look at Some Alternative Ways to Manage Risk
…Generalized Protective Momentum takes the correlation between asset classes into account when selecting them in addition to their momentum. Strengths: By considering correlation in addition to momentum, this approach tends…
Wall Street Mayhem Making Money for the Fastest Quants
…ability to speedily “pounce on pronounced volatility and macroeconomic uncertainty” has paid off for short-term-trend-focused quants, the article said, citing data from Deutsche Bank showing strategies that track intraday momentum…
Webinar: How To Use Validea Tools in Today's Rocky Market
…momentum and trend following and other concepts. The site’s Guru Stock Screener as a way to source new ideas in some of the most beaten down areas of the market….
Excess Returns, Ep. 16: Looking at Different Ways to Manage Risk
…and more advanced quantitative approaches like Trend Following, Protective Asset Allocation and Generalized Protective Momentum. We discuss: The different types of risks (inflationary and deflationary shocks) investors face. Simple and…
Excess Returns, Ep. 14: Some Thoughts on the Struggles of Factor Investing in the Past Decade
The long-term evidence to support factor investing is compelling. Academic work has shown that factors like value and momentum have produced an excess return relative to the market over time….
Five Questions: The Future of Asset Management with Meb Faber
…momentum and trend. As we go back to the time of Ben Graham and Charles Dow, if not long before that, these approaches can go in and out of favor…
Sixteen Quant Leaders Weigh-In on What Happens Next
…said, financial advisors will “use the language of factors to create bespoke portfolios” and individuals will be more “outcome-oriented with factors—growing their nest egg with value and momentum, or being…
Some Thoughts on the Struggles of Factor Investing in the Past Decade
…momentum, quality and low volatility factors from 1/2009 to 12/2019. Factor Key Annualized Return Annualized Standard Deviation Value AQR-HML -3.90% 8.02% Momentum AQR-MOM -2.09% 16.40% Quality AQR-QMJ 2.53% 8.59% Bet…