Showing posts with label alternative risk premium. Show all posts
Showing posts with label alternative risk premium. Show all posts
Tuesday, July 28, 2026

No momentum factor after accounting for cross-sectional liquidity

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What causes momentum, or what is associated with momentum?  A new paper suggests that there is a strong link between liquidity and momentum,...
Saturday, April 25, 2026

Expectation Bias and short-term Momentum

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  Machine learning can be used to predict analyst forecast errors. These forecast errors can predict cross-sectional returns and abnormal re...
Sunday, April 12, 2026

The problem of bimodality and deep mometum

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  Momentum is considered one of the financial factors that shows consistency throughout time. Other factors come and go, but not so with mom...
Friday, January 9, 2026

Nonlinear momentum - Increase positions with signal strength

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  Many firms are using trend-following. Their distinctions are often based on the length of trend signals, the set of markets used, and the ...
Monday, December 8, 2025

Momentum is persistent - A history

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The paper, "Momentum factor investing: Evidence and Evolution" , provides a history of research on the momentum factor. It has exp...

Momentum across different factors

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  Momentum can be displayed across different forms, and it seems as though each has different forms of persistence:  beta country  factor/st...
Thursday, October 30, 2025

Is it always about momentum but need style/factor diversification

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  There is a bandwagon effect with the momentum factor. The momentum factor performance is closely associated with cumulative flows into an ...
Tuesday, August 26, 2025

Return stacking - an easy approach for return enhancements

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  Return stacking is not hedging. Return stacking is not a solution to higher returns. Return stacking is a means of efficiently using capit...
Wednesday, July 30, 2025

The power of combining value and momentum factors

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  One of the more interesting combinations of factor exposures is value and momentum. Value and momentum have both delivered strong excess r...
Tuesday, July 22, 2025

Trend market performance not all the same

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PremiaLab Research has issued a new paper titled "Navigating Market Shifts with QIS Trend and Momentum Strategies," which analyzes...
Thursday, July 10, 2025

Momentum and reversal related to turnover

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  Momentum is a key factor found across all asset classes. It is persistent and perhaps the most used of the major risk factors. A paper I h...
Friday, May 23, 2025

Fama-French factors and economic drivers - Watch macro

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  The Fama-French factors have been used extensively to describe any set of returns; however, further work is needed to explain the economic...
Saturday, April 19, 2025

Factor investing - The 3 P's framework

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  How many factors should you have in an equity?  The factor zoo is constantly expanding, so you must be continually on the lookout for the ...
Monday, March 17, 2025

Portable alpha - A useful tool, but questions

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  We have always been in favor of portable alpha as the best way to gain both beta and alpha exposure. Stop thinking about picking managers ...
Tuesday, March 11, 2025

More talk about portable alpha - Is this right time?

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  AQR came out with a new research piece called Portable Alpha: Why Now? The Problems: Elevated Equity Valuations and Macro Volatility . The...
Thursday, January 23, 2025

Trend-following and equity markets - control the costs

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  There is money to be made trading long-only trends in equities but like all trading it is not easy and driven significantly by cost assump...
Saturday, December 21, 2024

Factor and price momentum across the globe

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  Many have tried to to explain away price momentum as driven by factor effects, but a recent study that looks at a large set of anomalies a...
Saturday, December 14, 2024

30 years of momentum research and it is only getting stronger

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  It has been over 30 years since the first major work on momentum was presented in a leading finance journal (Jegadeesh and Titman). Prior ...
Monday, December 9, 2024

The out of control momemtum factor - can it continue?

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  The exceptional factor for 2024 is momentum. There are many ways to calculate this factor, but a simple equity benchmark is from S&P w...
Friday, December 6, 2024

Factor investing across different regimes

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Factor risk premiums are time varying and a simple approach of breaking the economy into a four quadrant macro regime world will have signif...