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.
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 [...]
The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years [...]
We did a recent internal simulation study on the performance of cheap and expensive stocks based on a variety of valuation metrics. We looked at [...]
Deflating Profitability Ball, Gerakos, Linnainmaa, and NikolaevA version of the paper can be found here.Want a summary of academic papers with alpha? Check out our Academic Research [...]
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is [...]
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
We ran some numbers on the large liquid universe of stocks (>2B USD) traded in EAFE countries. In total there are 1086 names in the [...]
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]
When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can [...]
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 [...]
When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies Clare, Seaton, Smith, and Thomas A version of the paper can be found here. [...]
The Predictive Ability of P/E Ratio: Evidence from Australia and New Zealand Basu and O'Shea A version of the paper can be found here. Want a [...]
A recent blog post suggests that value investing in the tech sector is a waste of time. The article tells a compelling story and argues for 2 points: Successful tech stock investing is done when the stocks are dear, not when they are cheap. Tech companies should not get credit for huge piles of cash on their balance sheets. The author then makes the claim that you can't make big money in cheap tech stocks and buying cheap tech doesn't work. We thought the blog post was thought-provoking and it inspired us to conduct a quick empirical analysis to ascertain if there was any truth to the claims.
Question: How many ETF companies are hawking "Smart" beta products that offer low volatility or low beta portfolios (we could probably throw minimum volatility in [...]
Every quarter, boards across America wrestle with the complex question of dividend policy. Perhaps the company has excess cash that should be paid out as [...]
https://www.nantucketproject.com/wes-gray-from-concept-to-reality The story of our quantitative value algorithm as told at the Nantucket Project: [youtube url="http://youtu.be/3I9y2D5-Ol4"]
Dear Readers: Joel Greenblatt has attracted a lot of followers based on the success of his book, “The Little Book that Beats the Market,” and [...]
Beautiful weather, sun, ocean, and...my ugly mug chatting about finance with some fellow authors--including my fellow blogger, Meb! A fun event in the making... Details below. [...]
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