...evidence indicates that investors may be able to enhance the performance of momentum strategies by using price acceleration metrics to screen out the past winning and losing stocks most susceptible to reversal.
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Posts Tagged ‘ Momentum Investing ’
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Exploiting Momentum While Avoiding Long-term Reversal
Momentum and Moving Averages for Currencies
...findings suggest that momentum, whether based on past returns or moving averages, exists to some degree for currencies. The studies appear not to address combining past returns and moving averages to predict currency market returns.
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Momentum Timing of Junk Bond Fund?
...evidence from simple tests suggest that junk bond mutual funds exhibit return momentum perhaps exploitable via a multi-asset class allocation strategy (but not a standalone timing strategy).
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Factor Universality?
...evidence from German stocks supports belief in the pervasiveness of a momentum effect and perhaps a value premium, but not market beta and size effects. Any sentiment effect is likely weak, specific to susceptible stocks and concentrated in intervals after very low sentiment.
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Momentum in U.S. Corporate Bond Returns
...evidence indicates that investors may be able to exploit momentum in U.S. corporate bond returns by focusing on past winners among low-grade issues.
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Doing Momentum with Style (ETFs)
...a simple style momentum strategy implemented with ETFs may perform well compared to the overall stock market and individual style ETFs.
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How About Investors FastTrack?
"I found Investors FastTrack via a search last night. Do you know anything about them?"
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Momentum and Portfolio Risk
...evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.
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Isolating the Decisive Momentum (Echo?)
...evidence from an array of tests indicates that the cumulative return over the period from 12 months ago to seven months ago is decisive for the momentum anomaly for U.S. stocks, industries, styles, country indexes, commodities and currencies. Including more recent, largely irrelevant past returns in forming momentum portfolios may hurt performance.
Industry/Asset Class Momentum Over the Long Run
...evidence from simple tests indicates that the momentum anomaly is substantial and persistent over long periods for industries/asset classes on a gross return basis.
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