Momentum Investing Research

///Momentum Investing Research

Momentum Investing: Ride Winners and Cut Losers. Period.

By | 2017-08-18T17:00:14+00:00 July 16th, 2014|Research Insights, Key Research, Momentum Investing Research|

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.

How Portfolio Construction Affects Momentum Funds

By | 2017-08-18T17:03:35+00:00 November 16th, 2015|Momentum Investing Research, Active and Passive Investing|

We have already documented the returns to generic momentum investing strategies. Within the fund marketplace, many investors focus on fees and less on process. For example, Morningstar highlights the fees as "cost-efficient" for a specific momentum fund, MTUM.  However, fees are [...]

How to Combine Value and Momentum Investing Strategies

By | 2017-08-18T17:03:25+00:00 March 26th, 2015|Key Research, Value Investing Research, Momentum Investing Research, $SPY, $mtum, $vlue, $voo|

The evidence suggests that we keep highly active exposures to value and momentum in their purest forms (assuming we are doing high-conviction non-watered down versions of the anomalies). Blending the strategy dilutes the benefit of value and momentum portfolios. The summary of the benefits of a pure value and a pure momentum approach can be summarized as follows: Easier ex-post assessment, stronger portfolio diversification benefits, and stronger expected performance.

Frog in the Pan: Identifying the Highest Quality Momentum Stocks

By | 2017-08-18T17:04:46+00:00 November 23rd, 2015|Research Insights, Momentum Investing Research|

Frog in the Pan: Continuous Information and Momentum Da, Gurun and Warachka A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: [...]

Momentum Investing: Why Does Seasonality Matter for Momentum?

By | 2017-08-18T17:00:13+00:00 November 30th, 2015|Research Insights, Momentum Investing Research|

Causes and Seasonality of Momentum Profits Richard Sias A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: With Januaries (a month [...]

Expanding the Efficient Frontier with Value and Momentum Strategies

By | 2017-08-18T17:05:19+00:00 December 9th, 2015|Research Insights, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY|

Awww...modern portfolio theory...that feel-good construct I teach to all of my graduate-level finance students each year. Simply input 1) a vector of expected returns and 2) a covariance matrix into your computer, and voilà, you [...]

Momentum Investing: Skewness-enhanced Momentum Yields Double Alpha

By | 2017-08-18T17:00:14+00:00 May 11th, 2015|Research Insights, Momentum Investing Research, $mtum|

Expected Skewness and Momentum Jacobs, Regele and Weber A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: Motivated by the time-series [...]

Mixing Momentum and Value: A Winning Combination?

By | 2017-08-18T17:00:46+00:00 September 23rd, 2014|Value Investing Research, Momentum Investing Research|

Combining Value and Momentum Fisher, Shah and Titman (2014) A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: This paper considers [...]

Momentum Investing: A Simple Bond Momentum Strategy

By | 2017-08-18T17:00:15+00:00 April 22nd, 2015|Research Insights, Momentum Investing Research, $SPY|

Quick Summary For a bond momentum strategy, it makes sense to select the top 3 or top 6 funds. The starting universe matters. One must consider the taxes and transaction costs associated with the strategy, which can [...]

Are Value Investing and Momentum Investing Robust Anomalies?

By | 2017-08-18T17:10:04+00:00 April 21st, 2015|Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Beating a Dead Horse: Value investing and momentum investing work At this stage in our lives we've essentially memorized the CRSP/Compustat database. Name an anomaly and we can probably tell you the stats on it fairly quickly. [...]

Absolute Momentum and Stock Momentum Strategies: Friends, not enemies

By | 2017-08-18T17:11:11+00:00 March 31st, 2015|Momentum Investing Research, $mtum|

There is sometimes confusion associated with so-called "momentum" strategies--we want to clear the muddy waters. We break momentum into two categories to differentiate between the different approaches to momentum: (1) Absolute, or time-series momentum: an asset classes' [...]

The Remarkable Truth about 52-Week High Stocks

By | 2017-08-18T16:55:17+00:00 August 14th, 2014|Research Insights, Momentum Investing Research|

Pop quiz: A stock you own just hit a 52-week high... Does it make you nervous? On Wall Street, there are many highly publicized metrics that can trigger an emotional response in investors. The “52-week high” [...]

Momentum Research: Main Embarrassment of the FF 3-Factor Model

By | 2017-08-18T17:00:12+00:00 March 25th, 2015|Momentum Investing Research, $SPY|

Multifactor Explanations of Asset Pricing Anomalies Fama and French (1996) A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: Previous work [...]

Timing Value and Momentum with Valuation-Spreads

By | 2017-08-18T16:54:55+00:00 March 4th, 2015|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

We were recently passed along an article suggesting that valuation spreads, or the spread in a valuation metric across the most expensive and least expensive stocks, matters for timing investments. We take this concept one step further [...]

Mind the Gap: A Way to Enhance Momentum Profits

By | 2017-08-18T17:00:50+00:00 November 5th, 2014|Research Insights, Momentum Investing Research|

The Momentum Gap and Return Predictability Simon Huang A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract:  Momentum strategies have historically [...]

Overnight Momentum vs. Intraday Momentum

By | 2017-08-18T16:59:32+00:00 February 12th, 2015|Research Insights, Momentum Investing Research, $SPY|

A Tug of War: Overnight Versus Intraday Expected Returns Lou, Polk and Skouras A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]