When Academics Disagree on Momentum Investing
The academic standard for intermediate-term momentum measurement is "12_2 momentum:" simply sort all stocks based on a stock's total return over the past twelve months, ignoring [...]
Time Series Momentum and Volatility Scaling
There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series [...]
Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs
Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic [...]
Taming the Momentum Investing Roller Coaster: Fact or Fiction?
Intermediate-Term Price momentum, originally researched by Jegadeesh and Titman in 1993, documented a how recent stock returns tended to continue in the future. Stocks that [...]
Can Investors Replicate the Dorsey Wright Focus 5 ETF Strategy?
A long-time reader asked that we examine the performance and process associated with the Dorsey Wright Focus Five ETF (ticker: FV). For those who are unfamiliar [...]
Evidence-Based Investing Requires Less Religion and More Reason
Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant [...]
Style Momentum in Australia?
Jegadeesh and Titman (1993) popularized a simple idea: "past winners outperform past losers." Post JT, the relative strength, or "momentum anomaly," was forever ingrained in [...]
Stock Market Anomalies and Baseball Cards
I still have a Ken Griffey Jr. Rookie Card. To be honest, I don't even know where the thing is, but I hope it is [...]
Want to spot a true Value Investor? Look for horrible recent performance
Harry Houdini is perhaps the best-known magician of all time, gaining notoriety in the early 20th century through his daring escape acts. Houdini escaped from straight [...]
A Stunning New Finding: Return Seasonalities are Everywhere
We've discussed return seasonalities in the past, especially as they pertain to our approach to momentum. Turns out seasonality effects aren't confined to momentum -- they [...]
Not so Simple: Valuations and Low Volatility Strategies
Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldn't want to own something with the label "low volatility" andRecent performance [...]
Replicating Private Equity Returns with Small Value Stocks…3min video
We discussed private equity replication with public equities here and here. Erik Stafford just won the "honorable mention" award from AQR for his work on [...]
How Portfolio Construction Affects Value Funds
Value investing is an investment philosophy that has been extensively discussed and examined at least since the days of Ben Graham, who popularized it as [...]
Does Buffett Have Lessons for Systematic Value Investors?
We are fundamentals-based value investors, just like Warren and Charlie, but have chosen to pursue the art of value investing in a slightly different way [...]
Update on the Valuation Metric Horserace: 2011-2015
Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a [...]
Recreating Asset Bubbles in the Laboratory
Are we in a bubble? It depends on what asset class you’re referring to, whom you ask, and what you mean by “bubble.” We’ve posted [...]
Why Investors Should Combine Value and Momentum Investing Strategies
In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value [...]
Has the Value Investing Pain Train Ended?
Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a [...]
Replicating Private Equity: the Impact of Return Smoothing
Having spent what seems like a lifetime in the financial industry at this point, I've always had this nagging suspicion about private equity (PE): private equity [...]
Dual Momentum on Individual Stocks. Wow.
Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect [...]