There is perhaps no investment factor with more long-term data to support it than momentum. But despite that, its real world usage lags far behind other factors like value. Part…
Tag: Momentum Investing
The Basics of Momentum Investing
By Jack Forehand, CFA (@practicalquant) We often write about factor investing on our blog. We talk about factors like value, momentum, quality and low volatility and their practical use in the real…
Twin Momentum: Combining Fundamental and Price Momentum Together In One Quantitative Model (Ep. 59)
The academic research supporting the momentum factor is very strong. But most of that research focuses on the momentum in a stock’s price. An interesting research paper written by Dashan…
Excess Returns, Ep. 25: An In Depth Look at Momentum Investing
Momentum investing is difficult to understand for many investors. While a concept like value that involves trying to buy stocks at a discount to what they are worth resonates with…
Hulbert: A New Approach to Momentum Investing
New research has shown that a more effective way to profit from the momentum effect is to buy the “hottest” factors rather than the best-performing stocks. This according to a…
Momentum Investing - the What, the Why, the How and the Risks
By Justin Carbonneau (@jjcarbonneau) At the most basic level, momentum investing in the context of security selection can be defined as buying securities that have done the best over the…
Study Claims That the Momentum Factor Doesn't Work
A new study from Dimensional Fund Advisors concludes that fund managers “can’t find a way to profit” from the momentum factor, according to an article in Institutional Investor. The study,…
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…
Considerations in Momentum Investing
By Justin J. Carbonneau (@jjcarbonneau) — About a week ago CNBC had a piece that broke down how much the largest, best performing stocks have contributed to the overall market’s…
Momentum Investing Works Until it Doesn’t
A recent article in InvestmentNews highlights how momentum investing—buying shares of whatever is rising the fastest and selling when these stocks “lose steam”–has been performing well of late. However, the…