Sentences with phrase «costs of a momentum strategy»

Not exact matches

«Our estimates... imply that implementation costs erode almost the entirety of the return to value and momentum strategies... momentum profits, in particular, may be out of reach for the typical asset manager.»

A subscriber requested corroboration of the findings in «Simple Debt Class Mutual Fund Momentum Strategy» with a universe restricted to a family of bond funds (such as Fidelity) to enable low - cost fund switching.

By assuming a one - way replication cost of 50 bps, the annualized return of the 12 - month price momentum strategy would decrease by 1.29 % to 3.3 %.

The RA Momentum Factor Index will not be available outside the RAFI Multi-Factor index suite due to the high turnover and high trading costs of the strategy as a stand - alone index.

In addition to equal - and value - weighted momentum strategies, we derive a liquidity - weighted strategy designed to reduce the cost of trades.

Ultimately, the equity investor will haul in a larger alpha catch by emulating the skilled fisherman: first, identifying a promising location (i.e., small cap stocks), then using multiple lines and hooks (i.e., implementing value, momentum, and quality strategies to exploit the chum of risk and mispricing in each), and lastly, dangling the lure of skilled active management to tease out the smallest trading costs possible.

«Our estimates... imply that implementation costs erode almost the entirety of the return to value and momentum strategies... momentum profits, in particular, may be out of reach for the typical asset manager.»

Daniel and Moskowitz (2013) and Barroso and Santa - Clara (2014) show that extreme volatility tends to be predictive of subsequent momentum crashes and Granger et al. (2014) show how optionality imbedded in a rebalancing strategy is a timing mechanism that can help generate a higher return and a higher Sharpe ratio, albeit at a cost of altering higher moments.

Momentum - oriented strategies in all regions — in stark contrast to a year ago — tend to have decent projected returns, gross of trading costs (which we discuss in the next section).

Accordingly, two predominant risks characterize a momentum strategy: substantial drawdowns, or crashes, and a crowded momentum trade, which makes the trading costs high enough to obliterate the alpha of the strategy for the careless momentum surfer.

For example, Frazzini, Israel, and Moskowitz (2012) analyze trading costs associated with an actual implementation of a momentum strategy by an active manager.

Front runners and high transaction costs, a function of the strategy's required high turnover, largely destroy the potential benefits of a momentum - based passive portfolio.

Other researchers, including Novy - Marx and Velikov (2014) and Hsu et al. (forthcoming), have estimated the trading costs associated with index - like implementation of a momentum strategy.

And there are now a wide variety of index and other passively managed funds that allow investors to access stock strategies that the most sophisticated institutional investors utilize (such as incorporating momentum and tax management), and their costs are way below that of hedge funds and venture capital firms.

A primary contributor to the performance gap between the standard momentum factor's live and theoretical results is the price impact of trading costs associated with the strategy's high turnover.