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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 transaction costs associated with the...
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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? Check out our Academic Research Recap Category!...
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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 out our Academic Research Recap Category. Abstract:...
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Has Momentum Been “Arbed” Away?
Momentum Has Not Been ‘Overgrazed': A Visual Overview in 10 Slides Claude B. Erb A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research...
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How to Combine Value Investing and Momentum Investing (Part 2/2)
A few weeks ago I wrote an article talking about ways to combine value investing and momentum investing. The high level takeaway from that article was to keep value and momentum as separate exposures....
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How to Combine Value and Momentum Investing Strategies (Part 1/2)
We are probably most well known for our quantitative value investing strategies. The heart of our strategy is detailed in Wes’ book, Quantitative Value (a reader’s digest version is here). In the...
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Momentum Investing: Ride Winners and Cut Losers. Period.
Two weeks ago, we posted a simulation study on the performance of cheap and expensive stocks based on various valuation metrics. The dart-throwing monkeys simulations gave us a vivid look of how cheap...
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Daily Academic Alpha: Momentum Investing and Asset Allocation
The results in this paper won’t surprise most who are regular readers, but the paper below does a nice job explaining things in a simple way. For more advanced asset allocation methods that use...
View ArticleCliff Asness Quick Hits: Smart Beta and Risk Parity
Cliff Asness gave a talk at The Bloomberg Markets Most Influential Summit a few weeks ago, and offered up some discussion of recent market developments, including a discussion of the Shiller P/E and...
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Absolute Strength Momentum Investing Strategy
Here we highlight an interesting working paper titled “Absolute Strength: Exploring Momentum in Stock Returns” by Gulen and Petkova (2015). The abstract is the following: We document a new pattern in...
View ArticleCombining volatility, momentum, and trend in asset allocation
The Effective Combination of Risk-Based Strategies with Momentum and Trend Following Gregory Guilmin A version of the paper can be found here. Want a summary of academic papers with alpha? Check out...
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DIY Asset Allocation Weights: November 2015
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. The results are...
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Why I Don’t Invest in Momentum Stocks…Yet!
Confirmation bias is the tendency to cling to research/ideas that confirm with what you already believe. This behavioral bias leads to overconfidence and can impede our search for the truth. So in the...
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How the Number of Firms and Holding Periods Affect Momentum Funds
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...
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Frog in the Pan: Identifying the Highest Quality Momentum Stocks
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...
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Momentum Investing: Why Does Seasonality Matter for Momentum?
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:...
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The Quantitative Momentum Investing Philosophy
The Quantitative Momentum Investing Philosophy Buy Stocks with the Highest Quality Momentum Author: Jack Vogel, Ph.D., and Wesley R. Gray, Ph.D. PDF version Executive Summary Our Quantitative Momentum...
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Expanding the Efficient Frontier with Value and Momentum Strategies
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...
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‘Tis the Season for strange effects in the stock market.
The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax season, fundamentals go out the...
View ArticleEvidence-Based Investing Requires Less Religion and More Reason
Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city […] The post Evidence-Based Investing Requires Less Religion and More Reason...
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