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Featured Post

Factor Research

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.

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.

Insights

Rising Tides: Utilities – From Bond Proxies to Builders

Observations from the IMC Research Process - Utility companies are on pace to see one of the sharpest capital inflections in decades as they shift from steady maintenance spend to an expansion cycle.

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