Investment professionals have long relied on factor investing—strategies built around characteristics like value, momentum, and quality—to generate returns beyond the broad market.…
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back.…
The Ultimate Moving Average Handbook: Bringing Science into the Art of Trend Following The Ultimate Moving Average Handbook: Bringing Science into the Art of Trend Following was originally published at Alpha Architect.…
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.…
New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it For decades, investors using momentum strategies have followed a simple rule: ignore last month's returns.…