The Momentum Investing Group, is setup as container for all content related to Momentum Indexing. We will consolidate Content on Momentum Investing and cross post new product releases within the Momentum space here.

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Momentum Everywhere

At the very core to our risk management and relative-performance capture models is the philosophy of momentum; specifically, we use a proprietary spin called dynamic, volatility-adjusted momentum.

There are many possible explanations for the momentum anomaly.  Personally, I ascribe to the behavioral finance explanation: irrational behavior and positive feedback loops drive asset prices beyond the explanation of rational valuation.

Short-term residual reversal

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Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors. We develop a novel reversal strategy based on residual stock returns that does not exhibit these exposures and consequently earns risk-adjusted returns that are twice as large as those of a conventional reversal strategy. Residual reversal strategies generate statistically and economically significant profits net of trading costs, even when we restrict our sample to large-cap stocks over the post-1990 period. 

Seeking Timeless Momentum

In this paper we explore our unique approach to momentum investing, recogniz- ing the timeless nature of momentum, using our proprietary Relative Exposure model to dynamically exploit opportunities along the momentum term-structure. We compare our model to the results of a six-month relative strength model. To compare the models, momentum investment strategies are generated for each component of the S&P 500. The strategies dynamically choose between invest- ing in the component or the index based on the driving model’s momentum signals.

The Absolute & Relative Exposure Models: Simple Solutions for Complex Markets

Newfound's exposure models provide flexible, robust price trend estimation with a multitude of uses in the investment industry. The models embody the core principles of Newfound reflecting quantitative ingenuity and qualitative insight. The result is simple, adaptive technology that serves as a building block in Newfound’s strategy construction process that with- stands changing market environments.

First Asset Launch Momentum ETF

The First Asset Morningstar US Value Index ETF has been designed to replicate, to the extent possible, the performance of the Morningstar® US Value Target 50 Index, net of expenses. The First Asset Morningstar US Value Index ETF invests in equity securities of the largest and most liquid U.S. issuers based on proprietary research generated by Morningstar, and is designed to provide diversified exposure to U.S.

Purpose Investment Launch Momentum Total Return Bond Fund

Som Seif is back on the scene after the sale of Claymore to Blackrock last year, launching a new Asset Management company Purpose Investments focusing on building innovative low cost ETF solutions based on merging the best from both the passive indexing and actively management world.

The company now launch the first batch of product below Bond fund being the first initiative in the Fixed Income segment.

First Asset Launch Momentum ETF

The First Asset Morningstar US Value Index ETF has been designed to replicate, to the extent possible, the performance of the Morningstar® US Value Target 50 Index, net of expenses. The First Asset Morningstar US Value Index ETF invests in equity securities of the largest and most liquid U.S. issuers based on proprietary research generated by Morningstar, and is designed to provide diversified exposure to U.S.

Purpose Investment Launch Momentum Total Return Bond Fund

Som Seif is back on the scene after the sale of Claymore to Blackrock last year, launching a new Asset Management company Purpose Investments focusing on building innovative low cost ETF solutions based on merging the best from both the passive indexing and actively management world.

The company now launch the first batch of product below Bond fund being the first initiative in the Fixed Income segment.

Momentum Due Diligence

Finished performing the enhanced Momentum due diligence on all Momentum related ETPs in the database, according to dimensions listed in the Wiki. Group members here, has been helpful in highlighting additional dimensions to include in the analysis, and the idea is not to replicate this methodology of using domain experts in other product sub-segments. Should a need for including further dimensions arise, then it is easy to implement so let me know, else my hope is you will appreciate the added clarity and that it help you reach better decisions.

First Trust Launch Morningstar Managed Futures Strategy Fund

The First Trust Morningstar Managed Futures Strategy Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve positive returns that are not directly correlated to broad market equity or fixed income returns. The Fund uses as a benchmark, the Morningstar Diversified Futures Index (the “Benchmark”), which is developed, maintained and sponsored by Morningstar, Inc. (“Morningstar”). 

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Seeking Timeless Momentum

In this paper we explore our unique approach to momentum investing, recogniz- ing the timeless nature of momentum, using our proprietary Relative Exposure model to dynamically exploit opportunities along the momentum term-structure. We compare our model to the results of a six-month relative strength model. To compare the models, momentum investment strategies are generated for each component of the S&P 500. The strategies dynamically choose between invest- ing in the component or the index based on the driving model’s momentum signals.

The Absolute & Relative Exposure Models: Simple Solutions for Complex Markets

Newfound's exposure models provide flexible, robust price trend estimation with a multitude of uses in the investment industry. The models embody the core principles of Newfound reflecting quantitative ingenuity and qualitative insight. The result is simple, adaptive technology that serves as a building block in Newfound’s strategy construction process that with- stands changing market environments.

Seeking Timeless Momentum

In this paper we explore our unique approach to momentum investing, recognizing the timeless nature of momentum, using our proprietary Relative Exposure model to dynamically exploit opportunities along the momentum term-structure.

Newfound’s Dynamic Momentum

Momentum, also known as trend-following or relative-strength, is one of the oldest investment strategies and most well-researched phenomena in the marketplace. The strategy is the core of two of Wall Street’s oldest adages: “cut your losses [short] and let your profits run” (a quote frequently attributed to British economist David Ricardo) and Marty Zweig’s “the trend is your friend.”

Eureka! A Momentum Strategy that Also Works in Japan

This article explores an alternative definition of momentum that is calculated using the idiosyncratic returns from market regressions. By removing the return component due to market beta exposure, this new definition of momentum reduces the volatility of momentum strategies and generates sizeable four-factor alphas. These results hold in a sample of 21 countries, in addition to U.S. data. Most interestingly, the findings also hold in Japan, where previous studies have failed to find any significant power for traditional momentum strategies.

 

The momentum factor: the basics and Robeco’s solution

Factor investing, which advocates looking beyond traditional asset classifications and allocating to factor premiums such as size, value, momentum and low volatility, is taking ground. Especially since the publication of an influential report for Norges Bank Investment Management, one of the largest investment managers in the world, an increasing number of institutional investors allocates to factor premiums, while more are interested. At Robeco, we embrace the concept of factor investing.

Optimal Momentum: A Global Cross Asset Approach

Momentum is widely accepted among academic researchers as one of the strongest return generating factors, yet it remains largely unknown by the investing public. This paper explores that dichotomy by examining momentum from a practical point of view. Using exchange traded fund data from 2002 through 2010, we compare industry, style and geographic applications of momentum. Global stock index funds using four geographic regions give the best momentum results, but with a high level of volatility. 

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

There is a considerable body of research on relative strength price momentum but relatively little on absolute, time series momentum. In this paper, we explore the practical side of absolute momentum. We first explore its sole parameter - the formation, or look back, period. We then examine the reward, risk, and correlation characteristics of absolute momentum applied to stocks, bonds, and real assets. We finally apply absolute momentum to a 60-40 stock/bond portfolio and a simple risk parity portfolio.

Risk Premia Harvesting Through Dual Momentum

Momentum is the premier market anomaly. It is nearly universal in its applicability. This paper examines cross-asset momentum with respect to what can make it most effective for momentum investors. We explore price volatility as a value-adding factor. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown. We see that combining absolute and relative momentum gives the best results.

Capturing the Market, Value, or Momentum Premium with Downside Risk Control: Dynamic Allocation Strategies with Exchange-Traded Funds

There is extensive evidence that investment strategies based on momentum and value are attractive for portfolio managers who seek higher performances. Momentum and value are among the most robust return drivers in the cross section of expected returns. Dynamic risk budgeting methodologies such as Dynamic Core Satellite strategies (DCS) are used to provide risk-controlled exposure to different asset classes. We examine how to exploit the value and momentum anomalies using a DCS investment model.

Wiki for Momentum Investing

In this Wiki we will describe the different Terms related to Momentum Investing and highlight the important Dimensions important for the due diligence.

Gary Antonacci in his blogpost “Key Momentum Factors” provides a good starting point for highlight some of the major Dimensions to look at.

Gary highlight three key factors in structuring a momentum program:

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