Momentum Factor

Discussion of the Stock portion of the Permanent Portfolio

Moderator: Global Moderator

Post Reply
User avatar
Smith1776
Executive Member
Executive Member
Posts: 2316
Joined: Fri Apr 21, 2017 6:01 pm

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
(1.08 MiB) Downloaded 156 times
"This is the shabby secret of the welfare statists' tirades against gold. Deficit spending is simply a scheme for the "hidden" confiscation of wealth. Gold stands in the way of this insidious process." - Alan Greenspan, 1966
boglerdude
Executive Member
Executive Member
Posts: 746
Joined: Wed Aug 10, 2016 1:40 am
Contact:

Re: Momentum Factor

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

why cant everyone use it and get rich
User avatar
Smith1776
Executive Member
Executive Member
Posts: 2316
Joined: Fri Apr 21, 2017 6:01 pm

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.
"This is the shabby secret of the welfare statists' tirades against gold. Deficit spending is simply a scheme for the "hidden" confiscation of wealth. Gold stands in the way of this insidious process." - Alan Greenspan, 1966
boglerdude
Executive Member
Executive Member
Posts: 746
Joined: Wed Aug 10, 2016 1:40 am
Contact:

Re: Momentum Factor

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

It is for the charismatic fund manager
User avatar
Smith1776
Executive Member
Executive Member
Posts: 2316
Joined: Fri Apr 21, 2017 6:01 pm

Re: Momentum Factor

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

Uhhhh, okay.
"This is the shabby secret of the welfare statists' tirades against gold. Deficit spending is simply a scheme for the "hidden" confiscation of wealth. Gold stands in the way of this insidious process." - Alan Greenspan, 1966
fenns
Junior Member
Junior Member
Posts: 7
Joined: Wed Jun 27, 2018 4:35 am

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
boglerdude
Executive Member
Executive Member
Posts: 746
Joined: Wed Aug 10, 2016 1:40 am
Contact:

Re: Momentum Factor

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

Post Reply