Individual Stock Momentum – That Dog Won’t Hunt?

Dead or dying academic ideas latched on to by unwary institutional investors litter the investment graveyard landscape. My new book, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, describes some of these, such as portfolio insurance, small-cap premium, and portfolio diversification with passive commodities. Most of these occurred because of incomplete information…

“Fact, Fiction, and Momentum Investing”

 The AQR posse (Asness, Frazzini, Israel, and Moskowitz) recently issued a working paper that disproves many often-repeated myths about momentum investing, particularly as it applies to individual stocks. The authors back up their reasoning with results from academic papers and publicly available data. Here are the myths they address:  The momentum anomaly is small and sporadic  ·It…

Momentum Tidbits…

A number of papers have aimed at improving relative strength momentum with equities by adding enhancements to it such as analyst coverage, credit rating, business cycle placement, proximity to 52- week highs, and price acceleration. Li-Wen Chen and Hsin-Yi Yu have an interesting new paper called “Investor Attention, Visual Price Pattern, and Momentum Investing” that identifies price…

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.…