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 factors”) have been uncovered in the cross-section of stock returns. [...]
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 questions? Momentum is often considered the "premier anomaly" because of [...]
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 today and 2043 according to the United States Geological Survey, [...]
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., when underlying reality is nonlinear with complex interactions). In this [...]
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 classes. It doesn't matter whether you look at the other [...]
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 in empirical asset pricing -- can neoclassic economic models explain [...]
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 versus mispricing, specific to the momentum anomaly. We frequently cite [...]
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 are a few things one notices after thinking about a [...]
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 summaries of academic finance papers? Check out our Academic Research Insight category. [...]
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 the ETF structure. It seems as if everyone is a [...]
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. I’ve known Jack for some time now and was particularly [...]
Trust the Process
As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]
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 performance of stocks relative to their respective 52-week high (highlighted [...]
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 and easily observable - like fire creates smoke - while [...]
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 Architect World's Longest Trend-Following backtest by Alpha Architect Diversification Benefits of [...]
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 requirements for investment that my co-author, Andrew Berkin, and [...]
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 Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)" [...]
Momentum Everywhere, Including in Factors
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark [...]
Time Series Momentum (aka Trend-Following): A Good Time for a Refresh
Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which [...]
Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on the topic, all with different viewpoints: Alpha Architect's take AQR's take [...]