Momentum Investing Research

///Momentum Investing Research

How can the Investment CAPM Price Momentum?

By |2018-10-04T09:09:54+00:00October 2nd, 2018|Research Insights, Factor Investing, Momentum Investing Research|

"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

By |2018-09-25T10:16:46+00:00September 25th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

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 [...]

The Conservative Formula: Quantitative Investing made Easy

By |2018-09-05T10:14:34+00:00September 11th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

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

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 and Video, 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|Research Insights, Factor Investing, Trend Following, 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|Research Insights, Factor Investing, 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|Research Insights, Factor Investing, 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|Research Insights, Trend Following, 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|Research Insights, Factor Investing, 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|Research Insights, Trend Following, 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 |2018-10-09T17:55:33+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|Research Insights, Academic Research Insight, 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|Research Insights, Factor Investing, 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 [...]

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