Some portfolios you consistently ended up with higher returns, implying that there was something about the market, something systematic, that was driving them. What are these factors? Factors, Intro

Systematically accounting for excess returns became an academic sack race. Factors, The Famous 5

While fundamental factors play a role in explaining excess returns, technical factors cannot be ignored either. Thus, Momentum. While the market can be sliced-and-diced in many different ways, here’s a simple way to go about it: The All Star Backtest.

Most momentum strategies use a skip month. What happens if you don’t? And what happens if you skip two?

Momentum portfolios are extremely volatile. But, is it possible that a portfolio of less volatile stocks out-perform the market? Ergo, the Low Volatility Anomaly.

Turns out, you can boost returns of a low-volatility strategy by adding a bit of momentum. VOLxMOM.

Both Factor Rotation (buying what worked best in the past) and Multi-Factor (buying all factors) work. As long as you stick with it.

Comments are closed, but trackbacks and pingbacks are open.