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Factor Research

Buy High, Sell Higher

How important is price level in momentum investing? In this study, we evaluate the relationship between different measures of a stock’s proximity to its 52-week high and traditional price momentum.

The Power of Many – Revisited

This paper is an extension of our recent research paper that analyzed how portfolio breadth influences the performance, consistency, and risk profile of momentum strategies (see The Power of Many - How Portfolio Breadth Shapes Momentum Outcomes). In this latest study, we test how the number of holdings affects outcomes of three additional style factor strategies: Value, Growth, and Quality.

Momentum Factor Investing: Evidence and Evolution

New research published in The Journal of Portfolio Management adds to a growing body of evidence supporting momentum as not simply a market anomaly, but a persistent return driver with important implications for portfolio construction.

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