A Deeper Look into Factor Momentum

Momentum seems to be present everywhere and based on academic studies, it is even hard to find assets where the anomaly does not work. Among the large number of research papers related to momentum, the discovery of factor momentum is still relatively new. It is a truly important finding in the world of systematic strategies — there seems to be a return continuation among factors. The novel research of Fan et al. (2021) builds on the recent academic research and shows that, after all, the factor momentum might be different. To be more precise, the authors show that looking at the universe of 20 factor strategies, the factor momentum seems to work and can span individual equity momentum strategies (standard momentum, industry momentum and intermediate momentum). However, the factor momentum is mostly driven by only six factor strategies, and the return continuation of the remaining factors is weak.

https://quantpedia.com/a-deeper-look-into-factor-momentum/

--

--

--

Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies

Love podcasts or audiobooks? Learn on the go with our new app.

Recommended from Medium

Ted Baker invests in international expansion after profits surge

Amazon’s Dash Cart is its latest attempt at cashless shopping

Fintech Focus — October 2010

Procure-to-Invoice: How to Master the Process — Part 3

Spotify launches Premium Duo plan for couples

An ice cold Coca Cola Classic, please!

How working with a BILLION dollar automotive company changed my life’s purpose :

Rethinking Models of Social Impact

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
Quantpedia

Quantpedia

Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies

More from Medium

Use Value Iteration to Solve a MDP Problem

5 Cheap Chip Stocks

How To Get The Most Out Of U.S. Equity Tick Data

Fifty Trades in Fifty Weeks