Momentum Investing Research

///Momentum Investing Research

The Best Research Paper Ever Written on Trading Costs

By |2018-08-14T09:49:04+00:00August 14th, 2018|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

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)

By |2018-06-27T09:41:51+00:00June 29th, 2018|Podcasts, Momentum Investing Research|

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

By |2018-08-16T08:10:20+00:00June 21st, 2018|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

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

By |2018-06-15T12:15:54+00:00June 14th, 2018|Factor Investing, Research Insights, Momentum Investing Research|

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

By |2018-06-07T07:27:05+00:00June 8th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Uncategorized|

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?

By |2018-06-04T07:51:29+00:00April 27th, 2018|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

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

By |2018-04-18T14:48:55+00:00April 26th, 2018|Research Insights, Momentum Investing Research|

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!

By |2018-04-18T14:11:37+00:00April 24th, 2018|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

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

By |2018-03-23T14:26:32+00:00March 22nd, 2018|Factor Investing, Research Insights, Momentum Investing Research|

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

By |2018-02-09T10:57:32+00:00February 8th, 2018|Trend Following, Research Insights, Momentum Investing Research, Managed Futures Research|

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?

By |2018-01-19T17:34:43+00:00January 19th, 2018|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research|

 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 [...]

The Mother of All Momentum Research Reports. A Must Read!

By |2018-01-17T12:20:18+00:00January 18th, 2018|Momentum Investing Research|

J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of our favorite topics!) Here is a link to the report 188 pages of pure effort [...]

Factor Investing and Trading Costs

By |2018-05-17T08:52:08+00:00November 28th, 2017|Factor Investing, Key Research, Momentum Investing Research|

Factor investing, and the associated intellectual battles, have raged for decades in academic finance journals. However, now that factor investing has gone mainstream via ETFs, the debate has broader interest among the investing public. Some investors [...]

Monetary Momentum

By |2017-11-13T13:47:42+00:00November 16th, 2017|Academic Research Insight, Research Insights, Momentum Investing Research|

On most mainstream finance websites, a good chunk of the stories discuss the FED and where interest rates are going. Intuitively, this makes sense: The FED is arguably an extremely influential component of U.S. economy. [...]

Want to Learn More About Factor Investing? Read This.

By |2017-10-26T10:23:15+00:00October 26th, 2017|Factor Investing, Research Insights, Interviews, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Replicating Anomalies is arguably a "must read" for anyone who thinks about factor investing and is looking to improve their understanding of the space. Lu Zhang, and his colleagues, Kewei Hou and Chen Xue, spent [...]

A Fund Flows Theory for Value and Momentum Investing

By |2017-10-17T09:16:42+00:00October 17th, 2017|Research Insights, Value Investing Research, Momentum Investing Research|

Value and Momentum Investing -- our two favorite factors. We talk about these phenomena on our blog all the time, and have given both rational and behavioral explanations as to why these may occur.However, very few in the finance community are direct investors into Value and Momentum securities -- the individual stocks (or bonds) themselves. Many use ETFs or mutual funds to gain access to these factors. Institutions generally do the same, either investing in hedge funds or managed accounts. This is delegated asset management, whereby one delegates the decision of the security selection onto a third-party manager. A by-product of delegation is that from time to time, the third-party manager must be assessed. While many may claim the process is most important, the performance is always taken into consideration. So what happens to a Value manager who is overweight the wrong industry? While the manager may be following the same process discussed ex-ante, the ex-post assessment may be that the manager needs to be fired due to underperformance.

Replicating Anomalies

By |2017-11-08T11:34:27+00:00October 13th, 2017|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research|

Academic research is amazing and incredibly useful for helping us better understand the complex world in which we live. In fact, academic research has literally rewired my brain at times. However, research isn't perfect and [...]

Short Term Momentum and Long Term Reversals Can Coexist

By |2017-08-28T10:27:32+00:00August 30th, 2017|Factor Investing, Larry Swedroe, Research Insights, Other Insights, Momentum Investing Research|

In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported significant returns to buying winners and selling losers in the U.S. equity [...]

Trick Question: How is the Momentum Factor Performing YTD?

By |2017-08-18T16:54:19+00:00July 24th, 2017|Research Insights, Momentum Investing Research|

If you ask your typical long-only investor (or financial advisor) how momentum is doing this year they'll likely say, "Amazing!" This statement will almost surely be based on the fact they own (or know about) the [...]

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