Momentum Investing Research

New Accounting Standards and Factor Investing

By |March 7th, 2022|Factor Investing, Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Momentum Investing Research, Size Investing Research|

How well do quantitative investors navigate around the changes to the accounting standards that are endemic to the financial data used in quantitative strategies? The numbers reported on financial statements are wholly governed by regulation and by each firm’s interpretation of those accounting standards.  So how do quants stick to their empirical evidence on old data methods or do they react in terms of the strategy when the change in standards is material?

Is The Value Premium Smaller Than We Thought?

By |February 3rd, 2022|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Momentum Investing Research|

From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was dead. It is certainly possible that what economists call a “regime change” could have caused assumptions to change about why the premium should exist/persist.

What Explains the Momentum Factor? Frog-in-the Pan is Still the King.

By |February 1st, 2022|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Having conducted an inordinate amount of research on the momentum factor, we find it comforting (likely due to confirmation bias!) that independent researchers have identified the same thing we have found -- frog in the pan is a robust way to measure momentum if one is seeking to take advantage of the momentum factor.

Factor Investing in Sovereign Bond Markets

By |January 13th, 2022|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

The reported results we covered have important implications for investors in terms of portfolio construction, risk monitoring, and manager selection. Because these common factors explain almost all the returns of bond portfolios, investors should construct their bond portfolios using low-cost, passively (systematically) managed funds with these factors in mind and then carefully monitor their exposure to these systematic risks.

Understanding Momentum Investing

By |December 30th, 2021|Larry Swedroe, Research Insights, Factor Investing, Academic Research Insight, Momentum Investing Research|

The main takeaway for investors is that Kelly, Moskowitz, and Pruitt demonstrated that past return characteristics are strongly predictive of a stock’s realized exposures to common risk factors, providing direct evidence that price trend strategies are in part explainable as compensation for common factor exposures—past returns predict betas on factors and those factors have high average returns.

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