Momentum Factor

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Smith1776
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Momentum Factor

Post by Smith1776 » Thu Sep 03, 2020 2:30 pm

I want to share an excellent paper written by Cliff Asness and co. regarding the momentum factor, it's pervasiveness, robustness, and overall implementability. This is from the Journal of Portfolio Management. It's a very insightful paper but also an easy read.


Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform. The existence of momentum is a well-established empirical fact. The return premium is evident in 212 years (yes, this is not a typo, two hundred and twelve years of data from 1801 to 2012) of U.S. equity data...
Highly recommended!


JPM Fact Fiction and Momentum Investing.pdf
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“My natural state is an outsider, and no matter what group I'm in or where I am, I've always felt like I'm outside the group, and I've always been analyzing the group.” - Michael Burry
boglerdude
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Re: Momentum Factor

Post by boglerdude » Fri Sep 04, 2020 2:10 am

why cant everyone use it and get rich
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Smith1776
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Re: Momentum Factor

Post by Smith1776 » Fri Sep 04, 2020 1:18 pm

While it is a factor, it is unfortunately not a free lunch.
“My natural state is an outsider, and no matter what group I'm in or where I am, I've always felt like I'm outside the group, and I've always been analyzing the group.” - Michael Burry
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Re: Momentum Factor

Post by boglerdude » Sat Sep 05, 2020 12:12 am

It is for the charismatic fund manager
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Smith1776
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Re: Momentum Factor

Post by Smith1776 » Sat Sep 05, 2020 2:06 am

Uhhhh, okay.
“My natural state is an outsider, and no matter what group I'm in or where I am, I've always felt like I'm outside the group, and I've always been analyzing the group.” - Michael Burry
fenns
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Re: Momentum Factor

Post by fenns » Tue Sep 15, 2020 5:40 am

boglerdude wrote:
Fri Sep 04, 2020 2:10 am
why cant everyone use it and get rich
cos most people are trying other methods to get rich
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Re: Momentum Factor

Post by boglerdude » Tue Sep 15, 2020 11:36 pm

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