Momentum Investing

…a simple style momentum strategy implemented with ETFs may perform well compared to the overall stock market and individual style ETFs.

…evidence from limited tests suggests that online search activity may help predict which recent winning and losing stocks will continue winning and losing.

…given the short sample period and modest difference in results, evidence from simple tests does not support a belief that the average of three-month, six-month and 12-month lagged returns reliably beats six-month lagged return alone for picking monthly ETF momentum winners.

…given the short sample period and modest cumulative return increment, evidence from simple tests does not support a belief that, over the long run, shorting sector ETF momentum losers beats cash while the S&P 500 Index is below its 10-month simple moving average.

…evidence from simple tests over a limited sample period suggests that hedging a sector ETF momentum strategy with a broad market ETF (the loser sector ETF may improve (harms) risk-adjusted performance.

…evidence from simple tests does not support a belief that alternative measurements of momentum beat past six-month return for a sector ETF momentum strategy.

…evidence from a rough ranking interval sensitivity test does not support a belief that a simple sector ETF momentum strategy reliably outperforms an appropriate benchmark.

…simple sector ETF momentum strategies have generally outperformed the broad stock market over the past decade for reasonably low trading frictions.

…evidence indicates that investors may be able to exploit consistency of past stock performance, independently of widely used momentum measures, via continuation over the intermediate term and reversal over the long term.

“I found Investors FastTrack via a search last night. Do you know anything about them?”

…evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.

…evidence from an array of tests indicates that the cumulative return over the period from 12 months ago to seven months ago is decisive for the momentum anomaly for U.S. stocks, industries, styles, country indexes, commodities and currencies. Including more recent, largely irrelevant past returns in forming momentum portfolios may hurt performance.

…evidence from simple tests indicates that the momentum anomaly is substantial and persistent over long periods for industries/asset classes on a gross return basis.

…evidence indicates that many (but not all) well-known stock return anomalies derive their profitability from short positions in firms with low credit ratings during deteriorating credit conditions, with shorting constraints and illiquidity limiting exploitation.

…investors may be able to boost momentum returns for individual stocks substantially by incorporating information from past trading volume and detailed analysis of firm fundamentals.