…of algorithms that buy or sell based on asset-price momentum.” The findings come from research by quant investment firm AlphaSimplex Group LLC “based on models that gauge the magnitude of…
Search Results for: momentum
Factor Timing: Skepticism in Order
A Morningstar article posted last month discusses an “emerging body of research that suggests it is possible to successfully time exposure to factors like value, momentum, small size, quality and…
Founder of Winton Capital Talks Artificial Intelligence
…uncertain.” By contrast, he quipped, Warren Buffett’s investing prowess comes from his “knowing everything about everything.” Harding is drawn to momentum investing in part because of his educational background in…
Hulbert on Yearly Performance Rankings and What Investors Should Know
…by an 4.2% (on average). Research shows that the “momentum effect” in a given year typically lasts for only two to six more months (study by Newfound Research), after which…
Drunkenmiller and Warsh: Perspective on Fed Tightening
…hawkish was earlier in this decade, when the economic cycle had a long runway, the global economy ample momentum, and the future considerably more promise than peril. This is a…
The Case Against Value Stocks
…investing. It is true of investing in high momentum stocks. It is true of buying high quality companies. It is even true of buying index funds. No matter what style…
Some Thoughts on Multi-Factor Investing
…value, momentum and quality, I would just take 10 value stocks, 10 momentum stocks and 10 high quality stocks and combine them together. In a 2015 article, Jack Vogel of…
The O'Shaughnessy Approach: Guarding Against Narrative-Loving Humans
…the O’Shaughnessy quant model into the following steps: Establishing the investment universe; Eliminating “bad companies” using metrics such as such as valuation, price momentum, earnings growth, financial strength and earnings…
Investors Getting More Comfortable with Factor Investing
…volatility strategies lagged in recent periods, including the first half of 2018, investors would have been better off having exposure also to momentum and quality. Yet, in recent months, value…
Five Questions: Multi-Factor Investing with Liqian Ren
…but only when the noise of the timing signal is managed. Like individual stocks, factors have their own momentum and value. Factor momentum is highly correlated with stock momentum, but…