The Remarkable Truth about 52-Week High Stocks
Pop quiz: A stock you own just hit a 52-week high... Does it make you nervous? On Wall Street, there are many highly publicized metrics that [...]
Momentum Investing: Ride Winners and Cut Losers. Period.
Momentum has historically been a great strategy. Although counter-intuitive to many value investors, buying stocks with rising prices has been a great investment approach--arguably better than value investing. Moreover, the approach is robust between the 2 samples analyzed. The lesson is clear: Let your winners ride and cut your losers short.
Timing the Market with Mean Reversion Indicators
Mean Reversion, Momentum and Return Predictability Huang, Jiang, Tu, Zhou A version of the paper can be found here. Want a summary of academic papers with [...]
Has Momentum Been “Arbed” Away?
Momentum Has Not Been 'Overgrazed': A Visual Overview in 10 Slides Claude B. Erb A version of the paper can be found here. Want a summary [...]
Flexible Asset Allocation
Generalized Momentum and Flexible Asset Allocation (FAA) An Heuristic Approach Wouter J. Keller and Hugo S.van Putten A recent version of the paper can be [...]
Risk Premia Harvesting Through Momentum
Risk Premia Harvesting Through Momentum Gary Antonacci A version of the paper can be found here. Abstract: "Momentum is the premier market anomaly. It is [...]
Risk-Managed Momentum
Last week we discussed the possibility that "momentum is finished." Astute readers of the blog generally agreed with the concept, but also pointed out that [...]
Momentum Finished?
CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This [...]