Momentum & factors
Cross-sectional and time-series momentum, dual momentum, momentum crashes and the factor models used to explain returns.
- Market timing models for a momentum strategy
How trend filters, absolute momentum, market-state rules and regime models can be layered on a momentum strategy to reduce exposure in bear markets, with the evidence for each and the trade-offs of whipsaws, lag and overfitting.
- Momentum crashes: why winners-minus-losers can lose so much so fast
Why long-short momentum portfolios suffer rare but severe crashes in market rebounds, what Daniel and Moskowitz found about 1932 and 2009, the role of time-varying beta and option-like payoffs, and the volatility-scaling responses proposed in the literature.
- Momentum on dual momentum portfolios: rotating between whole strategies
How dual momentum combines relative and absolute momentum across asset classes, what happens when the momentum rule is applied one level higher to choose between whole portfolios such as country ETF baskets, and the overfitting risks of strategy rotation.
- Momentum strategies: what the evidence says about buying winners
Cross-sectional and time-series momentum explained: how the strategies are built, what Jegadeesh and Titman, Carhart, Asness and others found, the behavioural and risk explanations, and the practical costs that eat into paper returns.
- Optimal stock quantity, selection and weights for momentum investing
How many stocks a momentum portfolio should hold and how to weight them: the diversification research from Evans and Archer to Statman, the concentration trade-off in momentum, equal, value, volatility and optimised weights, and the estimation error problem.
- The Fama-French five-factor asset pricing model
What the Fama-French five-factor model adds to the three-factor model, how the size, value, profitability and investment factors are built, why momentum is left out, how to run a factor regression on a strategy, and the main criticisms.
