…financial reporter Andrew Bary, “as growth stocks have grown too rich for investors’ liking, and value stocks too cheap to ignore.” Dubravko Lakos-Bujas of JP Morgan says “momentum stocks trade…
Search Results for: momentum
Adding an Acceleration Factor to Momentum Investing
…investing by looking at momentum acceleration.” Klement expresses some skepticism regarding momentum investing – “why should prices go up just because they have gone up in the past?” – and…
Top Economist Ed Hyman Says Recession is a Long Way Off
…either restarts quantitative easing or economic momentum increases as interest rates rise.” Hyman characterized the U.S. economy as “the sparkplug that will keep the world economy growing.” However, he warned…
Rob Arnott of Research Affiliates Says a “Smart-Beta Crash” is “Reasonably Likely”
…smart beta funds, says that a “smart-beta crash” is “reasonably likely.” Smart beta funds have focused on stocks with characteristics such as low volatility or high momentum, spurred on by…
AQR's Asness on Fama, Momentum Investing and More
…momentum and, as he notes, wrote a dissertation on it under the supervision of Fama. Asness notes that “the long-term success of the momentum factor seems to be a challenge…
Morningstar Study: Long-term Outperformance Not Predictive of Future Outperformance
…price momentum of the underlying stocks had a statistically significant effect on performance over one-year periods across equal fund categories” and that, over the longer periods, “a preference for more…
O'Shaughnessy: Timeframe Is Most Investors' Biggest Mistake
…are considered. And he talks about how he combines value and momentum in his portfolios. As for where he is finding value now, O’Shaughnessy says he still sees plenty of…
Morningstar's Rekenthaler on Modest Market Timing
…modest approach advocated by Asness et al. includes not only the familiar long-term metrics (such as CAPE or Shiller P/E), but also a second, shorter-term, “indicator of momentum.” Rekenthaler states:…
Securing Alpha From Small-Cap Stocks
…exploited.” They examine small-cap investing according to value, momentum, and quality strategies, noting that “[b]ecause small-cap stocks have high trading costs, implementation skill matters—a lot.” Thus, “[p]assive implementation of investment…
AQR Tests Market Timing Techniques, Helping to Boost Long Term Returns
…two core factors – valuation, measured by the cyclically adjusted PE (CAPE) factor made known by Rober Shiller, and momentum. Drawing on 115-year data, they found meaningful advantages to timing…