CIO Travis Prentice is featured on the Excess Returns podcast to discuss all things momentum investing.
- Building real-world momentum portfolios
- Concentration and managing risk
- Rebalancing strategies
- Momentum and other factors
Featured Post
Momentum Library
Momentum and Tax Efficiency
Momentum investing naturally results in higher portfolio turnover than traditional buy-and-hold strategies, which often invites concerns about the impact of trading costs and taxes on overall returns. This research summary, along with our recent paper, Momentum and Trading Costs, provides compelling evidence that these costs need not erode the momentum premium.
Momentum and Trading Costs
Momentum strategies inherently involve frequent trading, raising questions about the potential erosion of alpha due to implementation costs. This paper explores the relationship between momentum investing and trading costs by examining the sources and measurement of these costs, reviewing pertinent academic literature, discussing practical implementation solutions, and providing our own evidence supporting the survival of the momentum premium despite trading costs.
Momentum & Quality
Academic research, including our own, has shown that momentum and quality factors have generated positive excess returns above an equity market portfolio. This paper looks at the relationship between long-only momentum and quality across different sub-segments of global equity markets. We also share insight on what is an ‘optimal’ mix of momentum, quality, value, and growth within each market.
Insights
Rising Tides: Greek Banks – From Crisis to Capital Return Machines
Observations from the IMC Research Process - A turnaround for Greek banks
All about beta in the tariff tantrum and subsequent rebound
Other styles and factors, including momentum, have been less important in the vacillation between risk off/risk on in US equity markets.
Rising Tides: Global Pharma Knocking on China’s Door
Observations from the IMC Research Process - The rise of Chinese pharmaceuticals