Sentences with phrase «of a momentum strategy»

Certainly, an active implementation of a momentum strategy, which incorporates a careful study of liquidity, makes sense for some investors.

The addition of momentum need not boost turnover relative to a value investing strategy, and therefore, need not incur the high trading costs of a momentum strategy.

I just finished the initial stages of an analysis that will be available to my clients highlighting the value of momentum strategies.

But in our opinion, passive implementation of a momentum strategy is not advisable.

Third, based on this result, we investigate whether there exist capacity constraints in time - series momentum strategies, by running predictive regressions of momentum strategy performance on lagged capital flows into the CTA industry.

Years of suppressed volatility and the success of momentum strategies — betting on yesterday's winners rising even further — have led many investors to pile into similar investments, as the chart below shows.

«An important advantage of momentum strategies is that they may provide downside protection during sharp market corrections, while maintaining upside participation during bull markets... Undoubtedly, these strategies also experience periods of subpar performance.

Clif Droke is the editor of Momentum Strategies Report and Gold & Silver Stock Report.

The obvious way to combine strategies is to use leverage: for example, to reduce the market risk of a momentum strategy as much as possible, to do the same thing with a value strategy, and then to borrow money at a low rate in order to get exposure to both.

In contrast, longer holding periods decay the return potential of a momentum strategy, even after considering turnover.

Momentum is one of the most compelling factors in theoretical long — short paper portfolios, but live results of momentum strategies fall short of theoretical returns.

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

Thus, the implementation capabilities of an active manager of a momentum strategy should be reviewed just as rigorously as, if not more so, the manager's trading expertise.

When the factor is momentum, this phenomenon is aggravated by the fact that, in order to squeeze the highest performance out of a momentum strategy, turnover of close to 100 % a month is required.

Three versions of the momentum strategy are reported for the United States because three different holding periods were used to measure recent returns.

Being cognizant of these risks, how can an investor best exploit the insights of a momentum strategy?

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.