Momentum Investing: Skewness-enhanced Momentum Yields Double Alpha
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 [...]
Momentum Investing: A Simple Bond Momentum Strategy
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 [...]
Are Value Investing and Momentum Investing Robust Anomalies?
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 [...]
Absolute Momentum and Stock Momentum Strategies: Friends, not enemies
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 [...]
How to Combine Value and Momentum Investing Strategies
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.
Momentum Research: Main Embarrassment of the FF 3-Factor Model
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 [...]
Daily Academic Alpha: Higher Moments in Hedge Funds
Higher‐Moment Risk Exposures in Hedge Funds This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating [...]
Daily Academic Alpha: Momentum Investing
Fundamentally, Momentum is Fundamental Momentum Momentum in firm fundamentals, i.e., earnings momentum, explains the performance of strategies based on price momentum. Earnings surprise measures subsume [...]
Timing Value and Momentum with Valuation-Spreads
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 [...]
Overnight Momentum vs. Intraday Momentum
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 [...]
Quantitative Momentum Research: Price and Earnings Momentum
Momentum Strategies Chan, Jegadeesh and Lakonishok A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Quantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Quantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Quantitative Momentum Research: Intermediate-Term Momentum
Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Jegadeesh and Titman A version of the paper can be found here. Want a [...]
The Secret to Momentum is the 52-Week High???
The 52-Week High and Momentum Investing Thomas J. George and Chuan-Yang Hwang A version of the paper can be found here. Want a summary of academic [...]
Mind the Gap: A Way to Enhance Momentum Profits
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 [...]
Mixing Momentum and Value: A Winning Combination?
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? [...]
A Surprising Way to time Value and Momentum: Updated Analysis
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Interesting Tactical Asset Allocation Tool: Value portfolios
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Attention Prop Traders: The first half hour of trading predicts the last half hour…
Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return Gao, Han, and Zhou A version of the paper can be found here. Want a [...]