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Stingy News: Momentum

Momentum and reversals can coexist
11/11/17 Momentum
"The bottom line is that the research shows that short-term momentum and long-term reversals coexist in global equity markets."

Mean reversion via momentum
03/26/17 Momentum
"For an investor the takeaway is good news... rather having to allocate to an underperforming asset class over the past x years, simply wait for that underperforming / cheap asset class to start performing well. While you may miss the exact turn, you may be able to capture the longer run success when the asset class starts working without having to deal with the pain that created the opportunity."

How not to wipe out with momentum
10/03/15 Indexing Funds Value Investing Momentum
"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."

Two ways to improve momentum
05/18/14 Momentum
"Momentum investing worked very well in 2013, but it's been awful in 2014. The momentum reversal has been one of the major headlines in an otherwise flat and quiet market year because the high-flying stocks from 2013, especially popular tech names like Tesla, have been crushed in recent months. Momentum investing works great over the long term but can suffer from short term reversals that are painful to live through. Luckily, there are ways to significantly improve the momentum trading strategy - which would have side-stepped the momentum carnage of 2014 completely."

Momentum investing shouldn't work
03/10/13 Momentum
But it does work, prompting Eugene Fama to describe it as 'the premier anomaly'"

What happened to momentum?
11/09/11 Momentum
"The total return to Momentum was impressive for many decades. It's a simple strategy, basically going long past winners and short the losers, hoping they continue to win and lose. Interestingly, the past returns should go only up to the prior month, because there's slight mean-reversion at the one-month horizon, so most people use the returns from months t-12 through t-1. This highlights the non-fractal nature of stock returns, in that there's momentum in the data from 3-18 months, but mean-reversion at the shorter and longer frequencies."

A contrarian case for following the herd
07/23/11 Momentum
"Price momentum has succeeded in the face of a couple of intuitive objections. One is that buying winners inherently conflicts with a contrarian philosophy that is deeply ingrained within many successful investors. The second is that the simplicity of analysis needed to build a portfolio is troubling to adherents of the belief that markets are at least reasonably efficient. While the skeptics may lurk in the shadows when the strategy is successful, they are eager to speak up when momentum fails. And it is hard for the practitioners of a momentum strategy to launch a vigorous defense while looking foolish for having recently lost money with a portfolio of stocks bought simply on the basis of having recently gone up."

Value and momentum everywhere
09/13/08 Value Investing Academia Momentum
"We study jointly the returns to value and momentum strategies for individual stocks within countries, stock indices across countries, government bonds across countries, currencies, and commodities. Value and momentum generate abnormal returns everywhere we look. Exploring their common factor structure across asset classes, we find that value (momentum) in one asset class is positively correlated with value (momentum) in other asset classes, and value and momentum are negatively correlated within and across asset classes. Long-run consumption risk is positively linked to both value and momentum, as is global recession risk to a lesser extent, while global liquidity risk is related positively to value and negatively to momentum. These patterns emerge from the power of examining value and momentum everywhere at once and are not easily detectable when examining each asset class in isolation."

Momentum and credit rating
02/19/08 Bonds Academia Momentum
"This paper establishes a robust link between momentum and credit rating. Momentum profitability is large and significant among low-grade firms, but it is nonexistent among high-grade firms. The momentum payoffs documented in the literature are generated by low-grade firms that account for less than 4% of the overall market capitalization of rated firms. The momentum payoff differential across credit rating groups is unexplained by firm size, firm age, analyst forecast dispersion, leverage, return volatility, and cash flow volatility."

Value that sizzles
12/27/07 Value Investing Stingy Investing Momentum
"I bought into Fairfax Financial when it was hit by a tsunami of bad news in 2002. Short sellers were betting it would collapse - which is one reason I thought it was a buy. I like beaten-down stocks because I'm a contrarian and a value investor. I think that desperate situations such as Fairfax in 2002 are the ones that hold the potential for the biggest profits. Most people, though, hesitate to wager a big chunk of their hard-earned money on distressed stocks - and for understandable reasons. One problem with investing in companies like Fairfax is that you may have to wait years to see a profit. Another problem with deep-value investing is that it's not at all unusual to buy into a beaten-down firm, then watch it get even more beaten up. This can be deeply stressful. A good way to sidestep these problems is to marry the frugality of value investing with the price action of momentum investing. You buy cheap stocks, but only after their prices have rebounded. By looking for stocks with a bit of price momentum, you are waiting for the market to signal that the worst is over for the firm."

Value and momentum
02/06/07 Value Investing Dorfman Momentum
"People who scour the stock market for bargains tend to buy too early, and I am no exception. To counteract this problem, some value investors look for stocks that show some upward price momentum. Twice a year for the past few years, I have been put together a list of stocks that I think have both value and momentum."

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