$mtum

ETF Product Development: Past, Present, and Future

By | 2017-10-04T11:09:41+00:00 October 4th, 2017|Factor Investing, Active and Passive Investing, $mtum, ETF Investing|

On October 1st, 1908 Henry Ford introduced the Model T to the world. The power of the Model T was that it democratized the automobile so the average working-class person could afford a car for [...]

A few highlights from The Evidence-Based Investing Conference (West)

By | 2017-08-18T17:11:24+00:00 June 30th, 2017|Business Updates, $SPY, Yahoo Tickers, $IEF, $mtum, $vlue|

Earlier this week, I attended the Evidence-Based Investing Conference (West) and spoke on "The Factor Zoo" panel. I present a few highlights / takeaways from the event before you begin the 4th of July weekend. Of course, these [...]

How to Explain Momentum with Rational Investors — It’s complicated.

By | 2017-08-18T17:03:23+00:00 February 14th, 2017|Research Insights, Momentum Investing Research, $mtum|

A recent theory paper from researchers at NYU and Rutgers attempts to explain the empirical evidence on stock serial correlation (e.g., short-term reversal, long-term stock reversal, and classic stock momentum). The interesting wrinkle with this paper is the [...]

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 [...]

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 [...]

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 [...]

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 [...]

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 [...]

Is Price Momentum a Brother From Another Mother?

By | 2017-08-18T17:01:40+00:00 January 21st, 2016|Research Insights, Momentum Investing Research, $mtum|

Fundamentally, Momentum is Fundamental Momentum Robert Novy-Marx 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 in firm fundamentals, i.e., [...]

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 [...]

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' [...]

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.

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 [...]