…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…
Search Results for: momentum
Study Claims That the Momentum Factor Doesn't Work
…thinking about long-term factors compared with short-term ones.” She explained that, although momentum-style funds aren’t working, the information in the momentum premium can be used when buying and selling stocks….
Factor Timing: Sin Less Than a Little
…very hard to do. For example, if you were in momentum stocks through 2017 and early 2018, you did very well. But then it all fell apart in late 2018….
WorldQuant's New Fund Underperformed
…more than six years in October and tore through money pools that slice and dice assets based on factors such as momentum, value and growth.” WorldQuant employs approximately 1,000 research…
Five Questions: Behavior in Investing with Dr. Daniel Crosby
…invest in active or passive funds or whether value or momentum is a better investing factor, but in doing that we often lose sight of the thing that studies have…
When Hypothetical Becomes Real
…happens with all types of investment strategies, but it is particularly common in factor investing. Whether it be value or momentum or some of the secondary factors like quality, there…
Five Questions: Value Investing with Wes Gray
…that “open secret” factors, like value or momentum, are robust for a reason – their excess returns are associated with predictions from “rational” economic and “behavioral” economic theories.[1] But “robust”…
Quant Investor Cliff Asness Defends Factor-Based Strategies
…does poorly, he says, AQR can still do well if others (such as momentum and quality, for example) do well. “This year,” he laments, “the other ones are not making…
Does Mutual Fund Performance-Chasing Deserve its Bad Reputation?
A recent CFA Institute article discusses mutual fund performance-chasing which it says has drawn criticism. To evaluate how performance-chasing is faring in the U.S., the CFA Institute replicated momentum investing…
Alignment of Investing Styles Not Necessarily Bad Omen
An article by Bloomberg columnist Nir Kaissar argues that the occasional correlation of investment styles or factors—citing value and momentum as examples—isn’t a good predictor of a downturn. The article…