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World's First Index Fund
Index funds are pervasive now. We wouldn’t have our momentum program without them. But did you ever wonder how and when the very first index fund started? Many think it was in 1971 when Wells Fargo...
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Efficient Markets....Not
In my last post I mentioned how I quit the brokerage business after thinking about The World’s First Index Fund, which had outperformed most of the world’s top investment managers. In fact, after...
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Momentum Express
Momentum is like being on an express train headed toward the riches of Golconda. On our journey, if the Equity Express we’re on is passed by a faster moving train, we hop on over to the new train in...
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Economics... the dismal whatever
How many sciences do you know that have the word voodoo associated with them? How many have had major paradigm shifts every 20 years? Economics is still categorized into various schools of thought....
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Key Momentum Factors
There are three key factors in structuring a momentum program. They are all known through momentum research, so it's not hard to get them right. The first key factor is the formation look back period,...
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Here Comes Market Neutral Momentum...sort of
QuantShares recently launched the U.S. Market Neutral Momentum Fund (MOM). This fund comes close to replicating the strategy followed in many momentum research papers. From among a universe of the...
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Is Momentum Really Dead?
There have been some working papers out that purport to show the demise of momentum. Financial blogs have picked up on this information recently and passed it along to a wider audience. But as we shall...
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Residual Momentum
Often when a working paper is published, the free versions of it are no longer available. Residual Momentum by David Blitz, Joop Huij and Martin Martens never made it on to the SSRN site. It was...
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Value and Momentum...Not Here
I like Cliff Asness. Although I'm not a fan of momentum applied to individual securities, Asness' firm, AQR Research, created the first fully disclosed momentum funds available to the general public...
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Momentum Crashes Revisited
Last December I did a blog post called "Is Momentum Really Dead?" in response to several research papers that purported to show that momentum had lost its edge. Those papers were written due to two...
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2012 NAAIM Wagner Awards
The 2012 NAAIM Wagner Awards for Advancements in Active Investment Management were announced yesterday by National Association of Active Investment Managers. I'm in Atlanta now to accept the first...
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Currencies, Emerging Markets, & Commodities
I am asked frequently why I do not include additional asset classes. This question probably stems from the popular, but erroneous, belief that more is always better. Some also believe that being more...
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New version of my paper is now available...
I just made over a dozen minor changes and additions to my latest paper, "Risk Premia Harvesting Through Momentum". You can download it by clicking on the link. Einstein said, "Everything should be...
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Introducing the Balanced Momentum Index
I am happy to introduce our multi-asset, rules-based Balanced Momentum Index (BMI) that incorporates both relative and absolute momentum. I was expecting to release a global momentum index. However,...
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Time Series Momentum
Moskowitz, Ooi, and Pedersen recently posted a paper on SSRN called "Time SeriesMomentum." This same paper was published in last month's Journal of Financial Economics. Most momentum papers deal with...
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How to Judge an Investment Opportunity
Whenever a new investment approach comes along, there are always risks associated with data snooping and selection bias. Even with the best thought out methods using an abundance of past data, there is...
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More Time Series Momentum...
My use of absolute momentum is a key factor in my latest momentum paper. Positive absolute momentum exists when an asset shows a positive excess return over the look back period. Others may call this...
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Global Balance Momentum Index (GBMI)
Our Balanced Momentum Index (BMI) shows that a combination of absolute and relative momentum can give attractive past results using only four assets (Russell 1000, US REITs, Treasury, and high yield...
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New Webpage - Momentum Background
We have a new page called Momentum Background added to our website It gives a brief overview of the history of momentum investing and momentum research findings, There are also links to other sources...
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Dual Momentum
I've completed a rewrite and expansion of my last momentum paper. It has more information on absolute momentum and more emphasis on the benefits of dual momentum. I also gave it a new title: Risk...
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