Learning From AQR’s "Fama On Momentum"
Momentum's success is most likely from some irrational behavior and investor biases showing up in prices.
07 February, 2016
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Learning From AQR's "Good Strategies for Tough Times"
Composite of long/short premia, including Absolute and Relative Momentum performs well when Equities or Bonds perform poorly. Absolute Momentum is a good complement with Private Equity with negative correlation.
01 October, 2015
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Learning From AQR's "Which Trend is Your Friend?"
Most trend measurement methods are similar at a higher level and would produce similar results.
01 July, 2015
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Learning From AQR's "A Century of Evidence on Trend-Following Investing Fall 2014 Update"
For more than 100 years since 1880, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade. This is an update to the original Fall 2012 paper due to availability of additional historical data which allowed AQR to extend the research to 1880 and increase the number of assets from 59 to 67.
01 October, 2014
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Learning From AQR's "Fact, Fiction and Momentum Investing"
10 common myths about Relative Momentum investing are addressed.
01 July, 2014
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Learning From AQR's "A Century of Evidence on Trend-Following Investing"
For more than 80 years since 1903, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade.
01 October, 2012
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Learning From "Time Series Momentum"
There is strong positive predictability from a security’s own past returns for almost five dozen diverse futures and forward contracts that include country equity indexes, currencies, commodities and sovereign bonds over more than 25 years of data.
01 February, 2012
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Learning From AQR's "Trading on Trends"
The paper listed various time-series momentum signals which basically go long when prices move up and short when prices move down.
01 January, 2011
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Learning From AQR's "The Case for Momentum Investing"
Relative Momentum is a persistent anomaly and complements a value-focused portfolio.
01 January, 2010
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