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Factor Research

It’s Not You, It’s Your Fundamentals

This paper examines the relationship between price and business momentum and considers how combining the two can provide a more comprehensive view of momentum and support the construction of stronger, more adaptable portfolios.

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.

Insights

The Missing Middle

Why mega cap concentration strengthens the case for dedicated mid cap exposure.

Rising Tides

Rising Tides: The Muse Moment

Observations from the IMC Research Process - The launch of Meta’s Muse is widely considered a ChatGPT-like moment, where agentic AI has officially gone mainstream.

Rising Tides: A Crude Reality

Observations from the IMC Research Process - The oil market is under pressure at both ends: crude supply is tight, and so is the capacity to refine it.

Commentary

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