In this Academic-Style Research we tested a momentum factor, three-month price momentum, on a global universe of stocks. The three-month price momentum simply tells you how much a share price has changed over the past three months. A larger gain in share […]
Tag: momentum strategy
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Truths About Stop-Loss Strategies That Nobody Wants To Believe by Tim du Toit, Quant Investing If you’re a long-term reader of my articles, or a subscriber to the newsletter, you will know that I am not a great supporter of a […]
Rebalancing a stock and bond portfolio after the relative values of each investment have diverged seems logical, but this investment strategy can prove unprofitable if the mathematical concept of mean reversion does not take hold in the markets, says a […]
The traditional 60/40 split between stocks and bonds was never meant to be chiseled in stone, but rather was a starting point for building a portfolio that offered growth from stocks and safety in fixed income. Investors could push the […]
Fundamental value investors always have difficulty grasping quantitative techniques. Perhaps most perplexing is when a fundamental analyst asks a quant such as Cliff Asness what he thinks about the market and he say’s he doesn’t know. You see quants don’t […]