…any weighting system beats market cap weighting in the long run. It has also shown that factors like value, quality and momentum can produce excess returns. So why was this…
Search Results for: momentum
Factor Returns and Trading Costs
…pass all the tests: market beta, size, value, momentum and profitability/quality,” adding that, “it is particularly important to consider transaction costs (investability) because market impact costs may substantially erode a…
Five Questions: Investing in Human Freedom with Perth Tolle
…value and momentum and quality in the construction of your indexes in the future? Have you looked at applying these factors to emerging markets and whether it can help to…
Investors: Consider revenue-weighted ETFs
…It also notes that when these returns are broken down into factors, revenue-based indices “amplified exposure to size and value and reduced the momentum bias relative to the S&P 500….
Research Affiliates: Optimal Factor Investing Approach Includes Momentum
…adding momentum to a $10 billion portfolio reduced trading costs by a single basis point, despite the more frequent rebalancing required with momentum stocks. “Because momentum is associated with more…
The Death of the Traditional Passive Fund
…increase in investor confidence regarding systematic approaches such as value and momentum factor investing. A report based on the survey states, “Institutions also believe that new technology-driven approaches may make…
Long Term Compounding Using Low Volatility & Other Fundamental Factors
…in the universe. Momentum: Stocks with higher momentum are rewarded in the model. Academic studies have shown momentum tends to persist in the intermediate term, but mean revert in the…
The Mechanics of Value Investing
…investors should avoid. How Often to Rebalance With factor-based portfolios, how often you rebalance can have a significant effect on returns. Momentum portfolios typically require more frequent rebalancing to produce…
Bill Gross Says Odds of Outperformance Have Plunged
…much faster. “These days,” Gross argues, “it’s fashionable to blame the chronic underperformance of active managers on the growth of passive products—index and exchange-traded funds—and quantitative strategies such as momentum…
Five Questions: An Academic Look at Factors with Lu Zhang
…contemporaneously, positively correlated with shocks to stock prices. As such, price momentum winners tend to be earnings momentum winners that are more profitable, and price momentum losers tend to be…