…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…
Search Results for: momentum
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…
Value Portfolio, Meet Big Mo'
…of various strategies has shown that the best approaches historically have included both value and momentum variables. He also cites other studies showing that a combination of value and momentum…
Paulson: Understanding Indisputable Consensus and Unrecognized Themes
…expect. Low inflation: Inflation expectations remain low but the chances for at least moderate inflation are higher today than they have been in the past. The momentum trade: As momentum…
Market Volatility Could Derail Momentum Stocks
…according to a report in Barron’s. Momentum investment strategies invest in companies exhibiting strong price momentum, but that momentum may or may not be supported by the underlying fundamentals, which…
Muhlenkamp Sees Few Values, Lots of Margin Debt
…reasons, market momentum may reverse.” But Muhlenkamp says the US market may be bolstered by low interest rates in Europe and Japan, where investors are getting punished for saving. “If…
Shiller: No Bubble, But US Stocks Very Pricey
…the housing crash, said he didn’t think the housing market is now in “a flaming bubble. … The housing market has had diminishing momentum,” he said. “It’s down to just…