| Don't cut your losses? |
| 03/03/24 | | Momentum |
"'Cut your losses' is not a good strategy, as it underperformed the benchmark buy-and-hold portfolio. As Baur and Dimpfl noted, 'Losing stocks rarely continue to fall, which is not surprising in a world where stock markets rise and economies grow on average. In other words, if a rising tide lifts all boats, a cut-your-losses strategy cannot work.'"
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| Short-term momentum |
| 06/05/22 | | Momentum |
"Their main contribution was that they documented that short-term reversal was fully explained by stocks in the lowest deciles of turnover. The fact that the largest, most liquid stocks actually exhibited short-term momentum with economically and statistically significant premiums is an important new finding, allowing long-only investors to exploit the short-term momentum of stocks with very low transaction costs."
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| A gut punch |
| 01/03/21 | | Momentum |
"If, still an if, as we hope and expect, value continues to perform well over the next 6+ months, we should see the drag from the other factors greatly lessen and the net, we believe, turn sharply positive."
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| Accruals and momentum |
| 09/18/20 | | Momentum |
"Summarizing, the evidence demonstrates that investors have been well served to either short or avoid (for long-only investors) high accruals momentum firms."
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| Market timing with multiples |
| 06/04/18 | | Momentum |
"This short research note highlights that valuation multiples can be used for market timing, but result in an emotionally challenging strategy. Momentum or volatility-based strategies are attractive alternatives."
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| Momentum and reversals can coexist |
| 11/11/17 | | Momentum |
"The bottom line is that the research shows that short-term momentum and long-term reversals coexist in global equity markets."
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| Mean reversion via momentum |
| 03/26/17 | | Momentum |
"For an investor the takeaway is good news... rather having to allocate to an underperforming asset class over the past x years, simply wait for that underperforming / cheap asset class to start performing well. While you may miss the exact turn, you may be able to capture the longer run success when the asset class starts working without having to deal with the pain that created the opportunity."
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| How not to wipe out with momentum |
| 10/03/15 | | Momentum |
"Front runners and high transaction costs, a function of the strategy's required high turnover, largely destroy the potential benefits of a momentum-based passive portfolio."
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| Two ways to improve momentum |
| 05/18/14 | | Momentum |
"Momentum investing worked very well in 2013, but it's been awful in 2014. The momentum reversal has been one of the major headlines in an otherwise flat and quiet market year because the high-flying stocks from 2013, especially popular tech names like Tesla, have been crushed in recent months. Momentum investing works great over the long term but can suffer from short term reversals that are painful to live through. Luckily, there are ways to significantly improve the momentum trading strategy - which would have side-stepped the momentum carnage of 2014 completely."
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| Momentum investing shouldn't work |
| 03/10/13 | | Momentum |
But it does work, prompting Eugene Fama to describe it as 'the premier anomaly'"
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| What happened to momentum? |
| 11/09/11 | | Momentum |
"The total return to Momentum was impressive for many decades. It's a simple strategy, basically going long past winners and short the losers, hoping they continue to win and lose. Interestingly, the past returns should go only up to the prior month, because there's slight mean-reversion at the one-month horizon, so most people use the returns from months t-12 through t-1. This highlights the non-fractal nature of stock returns, in that there's momentum in the data from 3-18 months, but mean-reversion at the shorter and longer frequencies."
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| A contrarian case for following the herd |
| 07/23/11 | | Momentum |
"Price momentum has succeeded in the face of a couple of intuitive objections. One is that buying winners inherently conflicts with a contrarian philosophy that is deeply ingrained within many successful investors. The second is that the simplicity of analysis needed to build a portfolio is troubling to adherents of the belief that markets are at least reasonably efficient. While the skeptics may lurk in the shadows when the strategy is successful, they are eager to speak up when momentum fails. And it is hard for the practitioners of a momentum strategy to launch a vigorous defense while looking foolish for having recently lost money with a portfolio of stocks bought simply on the basis of having recently gone up."
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