Sentences with phrase «out 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.»
http://www.dualmomentum.net/
The momentum migrated from one marque to the other as strategies played out and Corvette Racing was a well - oiled machine in the stops, having worked extensively on slashing the time spent in the driver changes, to place Gavin right in the middle of a highly entertaining fight for fifth, sixth and seventh positions during the last stint.
While our emphasis on higher - quality, large - cap stocks with above - average dividends was slightly out of step with a momentum - driven environment, we believe it is a prudent strategy from a longer - term standpoint.
(For more on this, check out Gary Antonacci's study of monthly momentum strategies for U.S. - based investors in his recent book Dual Momentum Invmomentum strategies for U.S. - based investors in his recent book Dual Momentum InvMomentum Investing.)
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.»
As a result, the performance of strategies based on measuring momentum over the last two months, four months, and all the way out to 80 months can be compared.
The rationale was that yesterday's tests looked for the top 3 ETFs out of only 5 each month based on momentum and thus «forced» the strategy to invest in some ETFs that may be showing poor overall momentum.