Momentum Investing Research

//Momentum Investing Research

Dual Momentum on Individual Stocks. Wow.

By | 2017-08-18T17:05:58+00:00 February 11th, 2016|Momentum Investing Research, $mtum|

Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years This [...]

Why Investors Should Combine Value and Momentum Investing Strategies

By | 2017-08-18T16:52:10+00:00 March 22nd, 2016|Value Investing Research, Momentum Investing Research, $mtum, $vlue|

In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value and momentum investing concepts.* Many investors recognize that stand-alone value and [...]

Recreating Asset Bubbles in the Laboratory

By | 2017-08-18T16:58:00+00:00 March 29th, 2016|Research Insights, Behavioral Finance, Momentum Investing Research|

Are we in a bubble? It depends on what asset class you’re referring to, whom you ask, and what you mean by “bubble.” We’ve posted before on how some great finance minds define bubbles, and [...]

Value Investing Got Crushed During the Internet Bubble — Here’s Why…

By | 2017-08-18T16:53:53+00:00 October 10th, 2016|Value Investing Research, Momentum Investing Research, $vlue, $iwd|

The dot-com bubble of the late 90s was a wild time in the stock market. Internet stocks were trading through the roof, tech IPOs were a practically daily experience, and people quit their jobs to [...]

Style Momentum in Australia?

By | 2017-08-18T16:56:37+00:00 July 19th, 2016|Research Insights, Momentum Investing Research|

Jegadeesh and Titman (1993) popularized a simple idea: "past winners outperform past losers." Post JT, the relative strength, or "momentum anomaly," was forever ingrained in the minds of academic researchers (which is odd, since the [...]

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Creating an Alternative Investment Strategy with Value and Momentum

By | 2017-08-18T17:07:49+00:00 July 7th, 2016|Key Research, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction (<50 stock) value and momentum portfolios, deployed as a system, seems like [...]

Can Investors Replicate the Dorsey Wright Focus 5 ETF Strategy?

By | 2017-08-18T17:08:26+00:00 August 9th, 2016|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

A long-time reader asked that we examine the performance and process associated with the Dorsey Wright Focus Five ETF (ticker: FV). For those who are unfamiliar with the product, FV is a $3B+ sector rotation fund. The fund [...]

Evidence-Based Investing Requires Less Religion and More Reason

By | 2017-08-18T17:05:23+00:00 July 27th, 2016|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant commercial hub for trade from around the world. Based on [...]

Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs

By | 2017-08-18T16:56:32+00:00 August 17th, 2016|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following: "size," or a portfolio of [...]

Time Series Momentum and Volatility Scaling

By | 2017-08-18T16:54:59+00:00 August 31st, 2016|Momentum Investing Research, Tactical Asset Allocation Research, Managed Futures Research|

There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series Momentum" paper (some background here). The paper is behind a [...]

When Academics Disagree on Momentum Investing

By | 2017-08-18T16:52:25+00:00 September 1st, 2016|Momentum Investing Research|

The academic standard for intermediate-term momentum measurement is "12_2 momentum:" simply sort all stocks based on a stock's total return over the past twelve months, ignoring the last month. (a discussion is here and here) However, [...]

Is momentum investing dead? Or is it just painful?

By | 2017-08-18T17:01:41+00:00 September 7th, 2016|Momentum Investing Research|

Sometimes even the best evidence-based active investment strategies can create a formidable challenge to investors seeking to exploit them. Case in point -- momentum investing.  On the one hand, stock-selection momentum strategies (here is a [...]

Quantitative Momentum: A Guide to Momentum-Based Stock Selection

By | 2017-08-18T16:58:23+00:00 October 5th, 2016|Book Reviews, Momentum Investing Research, Business Updates, $mtum|

The long wait is over. Our newest book--Quantitative Momentum--is finally here. After 2 years of research review, results replication, reverse engineering, internal idea generation, writing, editing, and final publication, we have a final product. We think [...]

The Rebalance Bonus for Value and Momentum Porfolios

By | 2017-08-18T16:55:17+00:00 October 31st, 2016|Guest Posts, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value [...]

Firm-Specific Information and Momentum Investing

By | 2017-08-18T17:05:00+00:00 March 8th, 2017|Research Insights, Momentum Investing Research|

When it comes to momentum investing, everyone is always looking for a better way to implement a momentum-based stock selection strategy (the same goes for a value strategy). We highlight a few methods in our book, Quantitative [...]

Momentum Finished?

By | 2017-08-18T17:00:17+00:00 November 2nd, 2011|Research Insights, Momentum Investing Research|

CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This work inspired me to run the Size, Value, and Momentum [...]