…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…
Search Results for: momentum
Manager Says Stock Price Gap Signals Opportunity
…notes that easing economic momentum doesn’t bode well for cyclical value sectors (such as financials) and tends to favor those companies with stronger cash flows (i.e. growth stocks). Riggio describes…
Rules for Small-Cap Investing
…focus on the ones and twos,” says Lau. The team’s quant analyst concurrently runs a weekly model that scores the stocks using factors such as revenue, price and earnings momentum….
Expanding the Opportunity Set with Shareholder Yield
…Multi-Factor Investor Pim van Vliet High Returns from Low Risk: A Remarkable Stock Market Paradox This multi-factor model seeks low volatility stocks that also have strong momentum and high net…
Five Questions: A Wealth Manager’s View of Factors with Michael Batnick
…one hand, the long-term returns of the major factors like value and momentum would seem to support using them in client portfolios, but on the other, the extended periods of…
Quant Strategy for Picking Basketball Winners
…a star for teams which were the most or second-most successful in prior NCAA tournaments (within their seed); Momentum: Add a star for “1 to 8 seed with zero or…
An Energetic Defense of Stock Screening
…large-cap companies and to do so with a momentum bias.” He differentiates this from a “true smart-beta ETF” (referring readers to the writings of Rob Arnott and Research Affiliates). Every…
Lessons from a Quantitative Investing Conference – Part Deux
…of both size and momentum (they tend to own large low momentum stocks). The data used only covers money managers with over $100 million who have to report their holdings…
Twin Momentum: A Combination of Fundamental & Price Momentum
…that combined two concepts — strong price momentum and strong fundamental momentum. Stocks that scored highly based on the combined rank of both types of momentum were considered “twin momentum”…
BlackRock Bets on Momentum Strategy Comeback
Even as the momentum strategy has become “deeply unpopular” from its long stretch of underperformance, the worlds largest money manager is “staying the course” with the strategy, according to an…