Sentences with phrase «momentum as an anomaly»

Continuing research has firmly established momentum as an anomaly that works well within and across nearly all markets including equities, stock indices, currencies, commodities, real estate, and fixed income.

Not exact matches

For some analyses, they segregate these anomalies into four categories: (1) firm event - related (such as stock issuance); (2) market (such as momentum); (3) valuation (such as earnings - price ratio); and, (4) fundamental (such as acruals).

He measures the attractiveness of adding anomaly premiums to the benchmark portfolio by comparing Sharpe ratios, Sortino ratios and performances during recessions of five portfolios: (1) a traditional portfolio (TP) that equally weights equity, term and default premiums; (2) an equal weighting of size, value and momentum premiums (SVM) as a basic anomaly portfolio; (3) a factor portfolio (FP) that equally weights all 10 anomaly premiums; (4) a mixed portfolio (MP) that equally weights all 13 premiums; and, (5) a balanced portfolio (BP) that equally weights TP and FP.

One of the great anomalies of investing: The historical long - term outperformance of certain smart beta or factor - based strategies relative to the broader equity market (think choosing stocks based on their valuations, momentum, low volatility or quality metrics such as profitability).

The book does not take a position on questions like value versus growth, or behavioral economics, or any of the anomalies in the market such as momentum.

Price momentum is the «premier anomaly» in the investment world that you can use to your advantage as long as you know how to use it in the right way.

The secondary model was derived from a set of pieces written here (one, two), about four months ago, about the time that the momentum anomaly began to become overused (and right prior to the hard drive crash — I need to rebuild that model as well — I know its main result, but my proof is gone).

Though the momentum anomaly (weak as it has been recently) usually favors portfolios with stronger price momentum, the relationship breaks down over longer periods of time, and more severe moves, where mean - reversion tends to take over.