…uncoil.” The article reports that value has outperformed momentum by 9 percentage points in September, the “widest divergence in performance between the two factors (for stock attributes) since 2010, wrote…
Search Results for: momentum
A New Method for Rebalancing Helps Systematic Models Get Better
…efficient models, the Twin Momentum investor monthly portfolio was the best, but that is now dethroned. Another interesting observation is that across all of the permutations of portfolios (i.e. 10…
Profile: Quant Shop Two Sigma
…category looks at exchange-related data such as pricing, volume and momentum. Events: These models examine earnings announcements as well as non-scheduled events such as mergers and acquisitions. Alpha Capture: This…
Five Questions: Hidden Risks in Investing with Corey Hoffstein
…portfolio based upon momentum. We have to decide which momentum measure to use, the lookback period to evaluate it over, how frequently we will rebalance, how concentrated we want the…
Five Questions: Lessons From Finance History with Jamie Catherwood
…things like value and momentum back to the early 1800s. The studies showed support for both types of investing, but it got me thinking about what the data for a…
Six Common Misconceptions About Factor-Based Strategies
By Jack Forehand, CFA (@practicalquant) 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…
Hulbert: A New Approach to Momentum Investing
New research has shown that a more effective way to profit from the momentum effect is to buy the “hottest” factors rather than the best-performing stocks. This according to a…
It's Time to Protect Stock Profits, Says $338 Billion Manager
Deutsche Bank Wealth Management ($338 billion AUM) has cut equities from 50% to about 40% of its portfolio and expects that trend to gain momentum in the second half of…
Five Questions: Questioning Conventional Wisdom With Lawrence Hamtil
…combination of low volatility with momentum. You wrote a post in 2018 showing that a barbell portfolio combining the two factors outperforms the market while also taking less risk. On…
Momentum Investing - the What, the Why, the How and the Risks
…theories behind why momentum has the potential to work, how momentum can be measured, the risks of momentum (and there are plenty), and how momentum can be combined with other…