More Momentum Research Papers

As the advantages of momentum investing become more widely known, there is naturally more research being done to explore its potential. Some of that research, such as the Moskowitz, Ooi, and Pedersen paper “Time Series Momentum,” has been excellent. We prefer to point out and discuss positive things like that, but since this is a blog about…

Maximum Drawdown

There is a new research paper out by Wes Gray and Jack Vogel that is interesting not only to momentum investors but to all investors and researchers. The paper is “Using Maximum Drawdown to Capture Tail Risk.” In it, Wes and Jack show that academic anomalies, identified by linear factor models (alpha), are often not great trading…

Whatchamacallit?

In 1967, Bob Levy came up with the term relative strength in his paper “Relative Strength as a Criterion for Investment Selection.” He soon afterward wrote a book called The Relative Strength Concept of Stock Price Forecasting. Levy showed that stocks that outperformed the market over a pre-specified time period exhibited performance that tended to persist.…