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Book Musings
Now that I have turned my book manuscript into my publisher, I can get back to doing some blog posts. My book's title is Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower...
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"Fact, Fiction, and Momentum Investing"
The AQR posse (Asness, Frazzini, Israel, and Moskowitz) recently issued a working paper that disproves many often-repeated myths about momentum investing, particularly as it applies to individual...
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Value and Momentum Revisited
Most academic research on momentum deals with individual stocks. Most applications of momentum are also oriented toward individual stocks. The three largest publically offered momentum programs (AQR...
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Giving Investors a Chance
Researchers estimate that the worldwide cost of investment management is approximately $3 trillion per year. Some of this expense is unavoidable, such as the costs associated with custodial fees and...
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Value Investing Redux
Believe it or not, I was once a value investor. From an early age I was impressed with the long-run success of such value luminaries as John Neff, Bill Ruane, Walter Schloss, and Max Heine. Being of a...
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Dual Momentum Investing Is Now Released
Today is the official release day of Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. I wrote the book to help as many people as possible earn attractive returns and...
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Individual Stock Momentum - That Dog Won't Hunt?
Dead or dying academic ideas latched on to by unwary institutional investors litter the investment graveyard landscape. My new book, Dual Momentum Investing: An Innovative Strategy for Higher Returns...
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Diversification or Deworsification?
Most of us learned long ago that diversification is a good thing. In fact, it is often called the closest thing to a “free lunch” in the world of investing. This is because, when used wisely,...
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Dual Momentum Fixed Income
Momentum is most commonly applied to stocks. But it works just as well, if not better, when applied to bonds. Our Dual Momentum Fixed Income (DMFI) model switches monthly between the strongest one of...
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Absolute Momentum Revisited
Trend following based absolute momentum, also known as time-series momentum, is the Rodney Dangerfield of investing. It “don’t get no respect.” Absolute momentum is still little known and hardly used...
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And the Winner Is...
Until recently, the longest back test using stock market data was Geczy and Samonov’s 2012 study of relative strength momentum called “212Years of Price Momentum: The World’s Longest Backtest:...
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Do the Right Thing: Consider Persistence and Reversion
I used to always cut fruits and veggies in the wrong directions. I finally got around this problem by turning them in the opposite direction to the way I initially wanted to cut them. Similarly, many...
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Sustainable Momentum Investing: Doing Well By Doing Good
Socially Responsible Investing (SRI), also known by the more recent name Sustainable Responsible Impact investing or just Impact Investing, is the major application of ethical and social criteria, as...
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Bring Data
When doing financial modeling, one of the first things to look at is if your empirical work makes sense. In other words, are there valid economic reasons why a model should work? This can help you...
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Book Review: DIY Financial Advisor: A Simple Solution to Build and Protect...
I have always looked favorably upon do-it-yourself investing (DIY). It was a prominent feature of my own book. So I’ve been looking forward to DIY Financial Advisor: A Simple Solution to Build and...
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Multi-Factor Investing
Multi-factor investing that combines value, momentum, quality (profitability), or low volatility factors is today’s hot new investment approach. There has been an explosion of multi-factor ETFs...
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Bring More Data
Several months ago we posted an article called “Bring Data” where we showed the importance of having abundant data for system development and validation. This was further reinforced to us recently when...
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Why Does Dual Momentum Outperform?
Those who have read my momentum research papers, book, and this blog should know that simple dual momentum has handily and consistently outperformed buy-and-hold. The following chart shows the 10- year...
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Why Is Momentum Neglected?
In the words of Asness et al (2014), “No other factor…has nearly as long a track record, as much out-of-sample evidence (including across time, geography and even security type), or as strong and...
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Dual Momentum and Dollar Cost Averaging
Last month a millennial emailed me saying he liked my book. But he wondered if the outperformance of dual momentum would disappear if he used dollar cost averaging (DCA) because he would not be able to...
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