Factor Investing Research On Steroids
Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin Wang Working paper A version of [...]
The Cross-Section of Emerging Market Stock Returns
Matthias x. Hanauer, Jochim G. LauterbachA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Is factor momentum really everywhere?
Factor Momentum Everywhere Tarun Gupta and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]
The Momentum of News
Since the development of the capital asset pricing model (CAPM) in the 1960s, hundreds of anomalies (what John Cochrane famously called a “zoo of new [...]
Momentum Factor Investing in Russia
Momentum Factor Investing in 19th Century Imperial Russia William Goetzmann and Siman HuangJFE, forthcoming.A version of this paper can be found here. What are the research [...]
Value, Momentum & Carry Across Asset Classes
There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between [...]
Machine Learning Classification Methods and Factor Investing
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
Factor Investing Fact Check: Are Value and Momentum Dead?
The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset [...]
How can the Investment CAPM Price Momentum?
"How can a q-theoretic model price momentum?" is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing [...]
Value and Momentum and Risk
Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk [...]
Momentum Investing, Like Value Investing, is Simple, but NOT Easy
We've covered momentum investing extensively over the years, to include 94 posts, a book on the subject, and numerous discussions on various podcast outlets. There [...]
The Conservative Formula: Quantitative Investing made Easy
The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our [...]
The Best Research Paper Ever Written on Trading Costs
Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via [...]
Podcast: Momentum in Theory, Momentum in Practice (Jack)
Here is a link to our podcast on Flirting with Models. Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. [...]
Why you should trust the investment process (even though it’s hard)
In this article, we discuss why trusting an investment process can be very hard, and how you should approach the challenge. Trust the Process - [...]
The 52 Week High and the Q-Factor Investment Model
In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the [...]
The Future for Factor Investing May Be Different Than its Backtested Past
We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time. Many are common sense [...]
Are Trend-Following and Time-Series Momentum Research Results Robust?
When it comes to trend following and/or time-series momentum research, we got ya covered! A few places to dig in: Evidence for Long-Term Trend-Following by Alpha [...]
The Costs of Implementing Momentum Strategies
There are now hundreds of factors in what John Cochrane famously called the “zoo of factors.” However, there are only a small number that meet [...]
The World’s Longest Multi-Asset Momentum Investing Backtest!
As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: "Two Centuries of [...]