There is a common notion that a momentum strategy carries higher risk than that of a value strategy. This analysis puts that idea to the test using nearly 100 years of data and various risk measures. In this paper, we discuss the potential reasons for this misconception and show evidence that momentum has lower realized risk than value over time, while outperforming meaningfully.
X
Disclaimer
The Informed Momentum Company
has prepared these materials for illustrative purposes only and is not meant to be a recommendation to buy or sell any security or financial product. All investing is subject to risk, including the possible loss of money you invest. Past performance is no guarantee of future results. These materials have been prepared without taking into account your objectives, financial situation or needs. The information contained within this Web site is not meant as investment advice and should not be construed as a recommendation; or an offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy.
The content of this website is solely intended for use by eligible institutional investors and institutional-investment industry consultants. If you do not qualify as an institutional investor, the material shown on this site, which may include investment advisory fees, composite performance, separately managed account information, and model performance, may not be relevant.
You acknowledge and agree that The Informed Momentum Company does not assume any duties, obligations, or liabilities to you in connection with these materials or your access to or examination of it. You hereby release and agree not to make a claim against, collectively or individually, the Informed Momentum Company or any of its affiliates, for any matter.
This website is intended for institutional investment professionals only.
For Institutional/ Wholesale/ Professional Clients
In order to enter the page please read the information below and affirm by clicking the accept button that you have read and understood the information provided.
THE MATERIAL ON THIS SITE IS INTENDED FOR INSTITUTIONAL USE ONLY – NOT FOR RETAIL DISTRIBUTION
You must read the following information before proceeding. The following important information, in conjunction with the separate Terms of Use, governs your use of this website. Your use of this website and Content (defined below) constitutes your acceptance of those terms of use. If you do not agree with the terms of use, you should immediately cease use of this website and review of Content. When used herein, “we” and “our” means The Informed Momentum Company LLC (IMC) and its affiliates and “you” and “your” refers to any individual, company, or legal entity that accesses or otherwise uses this website. All of the information and content on this website, including, but not limited to, all text, analyses, reports, articles, graphics, software applications, video and audio files and photos, trademarks, service marks and trade dress (“Content”) is owned or licensed by IMC. IMC may offer advisory services in jurisdictions where it has received appropriate licenses to offer such services. This website is not directed to any person in any jurisdiction where the publication or availability of the website is prohibited. Persons in respect of whom such prohibitions apply must not access the website.
The information contained in this website is intended for use by Institutional Investors in the United States only. It is not intended for use by non-U.S. entities or for retail investors. “Institutional Investor” would include pension funds, investment company registered under the investment Company Act of 1940, Financial Intermediaries, Consultants, Endowments & Foundations and investment advisors registered under the investment Advisors Act of 1940, After you have read the information herein, you will be instructed to click to: 1) acknowledge that you are an “institutional investor” and 2) that you accept the information herein.
Certain content has been obtained from sources that IMC believes to be reliable as of the date presented; however, IMC cannot guarantee the accuracy of such content, assure its completeness, or warrant that such information will not be changed. The content contained herein is current as of the date of issuance (or such earlier date as referenced herein) and is subject to change without notice. IMC has no obligation to update any or all such Content; nor do we make any express or implied warranties or representations as to its completeness or accuracy. The content is not intended as an offer or solicitation with respect to the purchase or sale of any security or other financial instrument or any investment management services. The content does not constitute investment advice and should not be used as the basis for any investment decision.
The content does not take into account individual Institutional Investor circumstances, objectives or needs. No determination has been made regarding the suitability of any securities, financial instruments or strategies for any Institutional Investor. The content is provided on the basis and subject to the explanations, caveats and warnings set out in this notice and elsewhere herein. The Content does not purport to provide any legal, tax or accounting advice. Any discussion of risk management is intended to describe IMC’s efforts to monitor and manage risk but does not imply low risk.
RISKS ASSOCIATED WITH INVESTING. The price of equity securities may rise or fall because of changes in the broad market or changes in a company’s financial condition, sometimes rapidly or unpredictably. These price movements may result from factors affecting individual companies, sectors or industries selected for the portfolio or the securities market as a whole, such as changes in economic or political conditions. Equity securities are subject to “stock market risk” meaning that stock prices in general (or in particular, the prices of the types of securities in which a portfolio invests) may decline over short or extended periods of time. When the value of a portfolio’s securities goes down, an investment in a fund decreases in value. There is no guarantee that the use of long and short positions will succeed in limiting a strategy’s exposure to domestic stock market movements, capitalization, sector-swings or other risk factors. Investing in emerging markets carry additional risk relative to investments in developed markets.
Conflict of interest: IMC and its affiliates may make investment decisions that are inconsistent with the recommendations or views expressed herein, including for proprietary accounts of IMC or its affiliates. IMC and its affiliates, officers, directors and employees may from time to time have long positions in and buy or sell securities or financial instruments referenced herein.
Attestation: You further expressly acknowledge that you have checked and confirm that you; (i) are legally entitled to view this website; (ii) a legal entity and not an individual; and (iii) understand that the information on the website is not a promotion and that you will not treat it as such. In no event shall IMC or any other party be liable for any direct, incidental, special, consequential, indirect, lost profits, loss of business or data, or punitive damages arising out of your use of this website.
Confirmation: You must read the information included under legal “Terms of Use” policies before accessing the website. After you have read the information, you must 1) confirm that you are an institutional investor 2) that you accept the information herein, as well as the Terms of Use, and; 3 ) accept the delivery of this website in English. Otherwise click Decline to leave the website.
Thank you.
Terms of Use
PLEASE READ THESE TERMS AND CONDITIONS CAREFULLY. BY ACCESSING THIS WEBSITE YOU AGREE TO BE BOUND BY THE TERMS AND CONDITIONS SET FORTH ON THIS WEBSITE. THESE TERMS AND CONDITIONS ARE SUBJECT TO CHANGE. WE WILL NOTIFY YOU OF AMENDMENTS TO THESE TERMS AND CONDITIONS BY POSTING THEM TO THE WEBSITE AND YOU AGREE TO BE BOUND BY SUCH AMENDMENTS AS WELL. IF YOU DO NOT AGREE WITH THESE TERMS AND CONDITIONS, PLEASE DO NOT ACCESS THIS WEBSITE.
Unauthorized use of IMC’s websites and systems including but not limited to unauthorized entry into IMC’s systems, misuse of passwords, or misuse of any information posted to a site, is strictly prohibited.
IMC will not use or share any information you provide through this website with any third parties. We will only use your information for internal purposes. Specifically, we will not disclose or transfer your information to any external entities, including companies, affiliates, agents, or individuals, unless required by law. Your information will be processed and stored internally as we deem necessary, and by using this website and providing your information, you consent to such internal use and processing.
Use of this website may be monitored, tracked and recorded. Anyone using this website expressly consents to such monitoring, tracking and recording. You are responsible for being familiar with the current version of these Terms and Conditions posted on the Website during each session
Authorized Users and, Authorized
The information on this website is intended to be accessed exclusively by Institutional Investors, as defined in each region. This website is not directed to any person in any jurisdiction where (by reason of that person’s nationality, residence or otherwise) the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website. It is the responsibility of any persons who access the information contained herein to observe all applicable laws and regulations of their relevant jurisdiction. By proceeding, you are representing and warranting that the applicable laws and regulations of your jurisdiction allow you to access the information.
Authorized Use – No solicitations
The information contained in this website does not constitute a distribution, an offer to sell or the solicitation of an offer to buy any securities, nor is the information directed at any jurisdiction in which such offer, sale or recommendation is not authorized.
Authorized Use – No investment recommendations or professional advice
The information contained in this website does not constitute investment advice. An investment in strategies mentioned in this website may not be suitable for all investors and if you are unclear about any of the information on this website, please consult a IMC representative.
Content and Downloading Disclaimers
We believe that the information contained on the website is accurate as at the date of publication, however no warranty is made as to the accuracy, suitability, usefulness, reliability or completeness of any such information and no liability in respect of any errors or omissions (including any third-party liability) is accepted by us or any of our directors or employees. The use of this website and the delivery (“Delivery”) of information or documents by us or our agents through this website or via electronic mail or other modes of delivery, is at your own risk. No warranty is given that the content of this website and the Delivery (including any such information) will be error free or that this website or any servers that operate it or the Delivery are free of computer viruses or other harmful components.
Copyright notices
The works of authorship contained in the informedmom.com website (the “Website”), including but not limited to all design, text, sound recordings, and images, are owned, except as otherwise expressly stated, by The Informed Momentum Company LLC (“IMC”). Except as otherwise expressly stated herein, they may not be copied, transmitted, displayed, performed, distributed (for compensation or otherwise), licensed, altered, framed, stored for subsequent use, or otherwise used in whole or in part in any manner without IMC’s prior written consent.
Web content and materials
The information on this Website is for information purposes only. It is believed to be reliable, but IMC does not warrant its completeness, timeliness or accuracy. The information on the Website is not intended as an offer or solicitation for the purchase of any security or any financial instrument.
The information and materials contained in this Website – and the terms and conditions of the access to and use of such information and materials – are subject to change without notice.
You agree that (i) you will not engage in any activities related to the Website that are contrary to applicable law, regulation or the terms of any agreements you have with IMC and (ii) in circumstances where locations of the Website require identification for access, you will establish commercially reasonable security procedures and controls to limit access to your password or other identifying information to authorized individuals.
IMC may discontinue or make changes in the information, products, or services described herein at any time without prior notice to you and without any liability to you. Any dated information is published as of its date only, and IMC does not undertake any obligation or responsibility to update or amend any such information. IMC reserves the right to terminate any or all Website information, offerings or transmissions without prior notice to the user. Furthermore, by offering this Website and information, products, or services via the Website, no distribution or solicitation is made by IMC to any Website or such information, products, or services in jurisdictions where the provision of the Website and such information, products, services is prohibited by law.
Suitability and Appropriateness
Securities or financial instruments mentioned in the Website may not be suitable or appropriate for all investors or in all geographical areas. Your particular needs, investment objectives and financial situation were not taken into account in the preparation of this Website and the materials contained herein. You must make your own independent decisions regarding any securities or financial instruments mentioned herein. The fact that IMC has made available to you through the Website, investment opinions and other information constitutes neither a recommendation that you enter into a particular transaction nor a representation that any financial instrument is suitable or appropriate for you. You should consider whether an investment strategy or the purchase or sale of any product is appropriate for you in the light of your particular investment needs, objectives and financial circumstances.
Click the "Accept" button below if you have read, understood and agree to abide by the contents of this page; otherwise, please click "Decline" to leave the website.
Accept Decline