Sentences with phrase «weighted momentum strategies»

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

Not exact matches

They focus on a conventional momentum strategy that each month takes equally weighted long positions in past winners (top eight industries) and short positions in past losers (bottom eight industries) based on cumulative returns from 12 months ago to one month ago (12 - 2).

One way to think about a cap - weighted strategy is as a «momentum» strategy.

In fact, the most popular indexes are market capitalization weighted, which is a momentum driven strategy.

In each case, the dual momentum strategy still out - performs on an absolute and risk - adjusted basis its equally - weighted portfolio and the benchmarks.

Liquidity - weighted and hybrid liquidity / value - weighted strategies have the largest break - even fund sizes: $ 5 billion or more (relative to December 1999 market capitalization) may be invested in these momentum strategies before the apparent profit opportunities vanish.

The Dow Jones RAFI Commodity Index is a broad commodity index based on Research Affiliates» commodity strategy that utilizes price momentum and roll yield to provide (1) dynamic commodity weighting exposure and (2) intelligent futures contract selection.

Our stylized portfolios that blend six factors (volatility, value, quality, size, momentum, and dividend yield) with four different strategies (marginal risk contribution, minimum variance, Sharpe - ratio weighted, and equity weighted) demonstrated higher risk - adjusted returns than the S&P 500 ®, with a lower tracking error than most single - factor strategies (see Exhibit 1).

Random sidenote: A strategy based on weighting stocks on factors such as dividends, value, momentum etc all come under the category of «smart beta», which was in vogue for the past couple of years (until Bitcoin came and became the Queen Bee, Mean Girls style).

There are strategies targeting single risk - factor exposure (e.g., value, low volatility, momentum, quality, or size), those employing alternative weighting methods (e.g., fundamental, dividend, or equal weight) and a smaller, but expanding, set of multifactor strategies coming to market.

One of the reasons why I like a market cap weighted stock allocation is because it's a momentum strategy.

Following standard practice, the authors first divide the universe into large and small stocks, and then partition the large - and small - stock subsets by factor strategy — value, momentum, low beta, quality, and illiquidity — to construct high - characteristic and low - characteristic portfolios weighted by market capitalization.

By these measures, momentum, illiquidity, and low - volatility strategies score badly, suggesting high trading costs and low capacity, while value and quality strategies tend to score well, as do low - turnover strategies such as indexing, equal - weight, and Fundamental Index ™.