Momentum Investing Research

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Using Firm Characteristics to Enhance Momentum Strategies

By |2019-10-10T15:40:48-04:00October 10th, 2019|Research Insights, Factor Investing, Momentum Investing Research|

Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Prior [...]

Purchasing Managers’ Index (PMI) and Factor Performance

By |2019-07-16T12:38:43-04:00July 23rd, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist [...]

Enhancing the Performance of Momentum Strategies

By |2019-07-12T10:42:25-04:00July 12th, 2019|Research Insights, Factor Investing, Larry Swedroe, Momentum Investing Research|

In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or absolute, trend following) momentum, not only increases the explanatory power [...]

Momentum, Quality, and R Code

By |2019-07-11T14:42:06-04:00July 11th, 2019|Reproducible Finance, Research Insights, Factor Investing, Tool How-To-Guides, Momentum Investing Research|

Welcome to the first installment of Reproducible Finance by way of Alpha Architect.  For the uninitiated, this series is a bit different than the other stuff on AA - we'll focus on writing clean, reproducible [...]

Factor Investing Research On Steroids

By |2019-06-18T13:04:25-04:00June 18th, 2019|Quality Investing, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin WangWorking paperA version of this paper can be found here What are the research questions? Do the [...]

The Cross-Section of Emerging Market Stock Returns

By |2019-06-10T11:41:48-04:00June 11th, 2019|Research Insights, Value Investing Research, Momentum Investing Research|

Matthias x. Hanauer, Jochim G. LauterbachA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the Research Questions? As a non-academic finance [...]

Is factor momentum really everywhere?

By |2019-06-03T11:16:20-04:00June 3rd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Factor Momentum Everywhere Tarun Gupta  and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

The Momentum of News

By |2019-04-02T08:12:09-04:00April 4th, 2019|Research Insights, Larry Swedroe, Momentum Investing Research|

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

By |2019-04-01T13:45:54-04:00April 2nd, 2019|Research Insights, Factor Investing, Momentum Investing Research|

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

By |2019-01-24T16:25:43-04:00January 25th, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

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

By |2018-12-21T11:14:03-04:00December 21st, 2018|Research Insights, Machine Learning, Momentum Investing Research|

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?

By |2018-11-15T16:13:03-04:00November 15th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

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?

By |2018-10-04T09:09:54-04:00October 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 |2018-09-25T10:16:46-04:00September 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 |2018-09-05T10:14:34-04:00September 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 |2018-08-14T09:49:04-04:00August 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 |2018-06-27T09:41:51-04:00June 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 |2018-08-16T08:10:20-04:00June 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 |2018-06-15T12:15:54-04:00June 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 [...]