…related,” which included such variables as financial distress, net stock issuance. Momentum, gross profitability, asset growth and return on assets. The study found that the EM effect is primarily due…
Search Results for: momentum
Learn from Peter Lynch but Don’t Think You Can Replicate Him
…investment styles or factors (i.e. size, value, quality, momentum) for the periods analyzed. However, in Lynch’s case a large portion of his returns achieved while managing Fidelity Magellan couldn’t be…
High-Quality Stocks Won in a Tricky Year for Factor Investing
…through the end of the year.” But low-volatility and momentum stocks, the best-performing factor groups earlier in 2019, “lost their charm in the final third of the year.” As investors…
Morningstar Study: Which Investment Factors Work?
…performed better overseas than in the U.S. Momentum: Price momentum was found to be the most persistent of all factors, across all investment assets. The article says that researchers fail…
Excess Returns, Episode 3: Six Common Misconceptions About Factor-Based Strategies
Factor strategies have grown exponentially in the past decade. Almost every major asset manager now offers their variation of things like value, momentum, quality, and low volatility. But to use…
A Loser’s Game for Active Managers
…on to bigger positions, active portfolios become exposed to the momentum factor—“the tendency for winners to keep winning and losers to keep losing.” While over time this has led to…
Excess Returns, Episode 2: The Rising Bar for Active Management
The market has always been tough to beat, but the ability to investors to gain inexpensive exposure to factors like value and momentum has made the job of active managers…
If You Think You're Diversified, Think Again
…He also considered strategies based on price momentum, return-on-equity and price-to-book ratio. The research found that, since the start of the year, the cumulative returns of the volatility and quality-oriented…
A “Protective” Alternative to the 60/40 Portfolio
…momentum is called absolute momentum. Absolute momentum involves judging a security’s momentum using its own history. A good example of absolute momentum is using the 200-day moving average, which is…
A Framework to Evaluate Value Strategies
…Ticker Rebalancing QVAL Quarterly DVP Quarterly ZIG Quarterly VLUE Semi-Annual VFVA Custom FOVL Monthly Typically, value portfolios require less frequent rebalancing than other factors like momentum. So it isn’t a…