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Featured Post

Factor Research

The Power of Many

This paper explores how portfolio breadth influences the performance, consistency, and risk profile of momentum strategies. Through empirical analysis across multiple equity universes, we investigate how expanding or contracting the number of holdings affects realized returns, risk-adjusted outcomes, and the stability of momentum as an investment approach.

Back to the Future

This paper explores how variations in the lookback period—the time window used to measure prior returns—shape momentum’s results across global markets. By systematically comparing the standard 12-month-minus-one (12M1) approach with alternative lookback constructions, we aim to reveal how the time dimension of momentum influences future outcomes and the persistence of its edge.

Smooth Sailing

Could the manner in which momentum manifests – through smooth vs. discrete price movements, or varying levels of volatility – impact its effectiveness? This paper examines how the nature of momentum’s path influences its payoff by drawing on academic literature, assessing empirical evidence on how return patterns influence performance, and outlining the potential implications for portfolio construction.

Insights

Rising Tides: The Memory Trade Reloaded

Observations from the IMC Research Process - Since October when we last highlighted the memory theme, its role in AI infrastructure has become increasingly more important. Memory is now foundational as AI systems scale beyond training into real-world deployment.

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