Index

  1.  
  2. Absolute momentum
    1. breakpoints
    2. calculation of
    3. cutoff points
    4. financial crisis and
    5. firms, number of
    6. long-only portfolio returns
    7. long/short returns
    8. portfolio performance
    9. rule
    10. validity of
  3. Absolute strength
  4. Agarwal, Vikas
  5. Alliance Pharmaceutical Corp.
  6. Alpha
    1. relative risk premium
    2. sustainable
  7. Alpha analysis, quantitative momentum and
  8. Alternative momentum concepts
    1. 52-week high
    2. absolute strength improving relative strength
    3. fundamentals and
    4. volatility of momentum
  9. American Finance Association
  10. American Stock Exchange (AMEX)
  11. Apple
  12. AQR Capital Management
  13. Arbitrage
    1. defined
    2. investment strategy example
    3. limits to
    4. quantitative momentum and
  14. Asness, Cliff
  15. Asset class historical results
  16. Asset-class selection, trading rules and
  17. Australian equity markets
  18.  
  19. Baker, Malcom
  20. Bali, Turan G.
  21. Barberis, Nicholas
  22. Barron's
  23. Baupost Group hedge fund
  24. Beaver, William
  25. Behavioral bias
    1. identification of
    2. indirect exploitation of
    3. mispricing due to
    4. pillars of
    5. value, momentum and
  26. Behavioral errors
  27. Behavioral finance
    1. essence of
    2. investor psychology
    3. market mispricing and
    4. momentum and
    5. pillars of
    6. poker comparison (see Poker comparison)
  28. Behavioral psychology
  29. Behavioral theories, challenging
  30. Benchmark, passive
  31. Benchmark drift
  32. Benchmark portfolio
  33. Beta
    1. defined
    2. “lottery-like” stocks and
  34. Beta anomaly
  35. Bias, EMH and
  36. Black, Fischer
  37. Black box
  38. Blended strategy
  39. Bloomfield, Robert
  40. B/M (book to market) ratios
  41. Brown, Philip
  42. Brunnermeier, Markus
  43. Buffett, Warren
  44.  
  45. CAGR (Compound AnnualGrowth Rate)
    1. 52-week high screen and
    2. across different decades
    3. equal-weighting scheme and
    4. growth vs. momentummonkeys
    5. intermediate-term returns and
    6. quantitative momentum and
    7. rebalancing and
    8. rolling five-year
    9. value-weighted portfolios and
  46. Cakici, Nusret
  47. Capital Asset Pricing Model (CAPM)
  48. Career risk
    1. market frictions and
    2. momentum and
    3. quantitative momentum and
  49. Carhart, Mark
  50. CGM Focus Fund
  51. CGR
  52. Chan, Louis
  53. Chen, Honghui
  54. Closet indexing structures
  55. Combo portfolio
    1. annual returns for
    2. plus trend
    3. rolling 5-year spreads
    4. volatility and
  56. Compound Annual Growth Rate. See CAGR (Compound Annual Growth Rate)
  57. Compustat
  58. Confusion De Confusions
  59. “Continuation” effect
  60. Continuous information
  61. Cooperman, Leon
  62. Core-satellite approach
  63. Costs
    1. “all in”
    2. assumptions/estimates
    3. frictional
    4. implementation
    5. mispricing opportunities and
    6. transaction (see Transaction costs)
  64. Cross-sectional momentum
    1. about
    2. example using
  65. CRSP (Center for Researchin Security Prices)
  66. Cumulative three-day abnormal returns (CAR3)
  67. Cutoff analysis
  68.  
  69. Da, Zhi
  70. Daniel, Kent
  71. Data mining
  72. DeBondt, Werner
  73. de la Vega, Joseph
  74. De Long, Brad
  75. Discrete information
  76. Disposition effect
  77. Distributions, reinvestment of
  78. Diversification
    1. equal-weighting scheme and
    2. stock selection strategies and
  79. Diversifier, identification of
  80. Dividends
  81. “Diworsification”
    1. avoidance of
    2. Internet bubble and
    3. minimization of
  82. Dojima Rice Market
  83. Downside-protected strategies
  84. Drawdown(s)
    1. Great Depression
    2. growth vs. momentummonkeys
    3. maximum
    4. rolling analysis of
    5. top 10 analysis
  85. Drawdown analysis, summary
  86. Druckenmiller, Stanley
  87. Dutch East India Company
  88.  
  89. Earnings momentum
  90. EBIT/TEV (Earnings before Interest and Taxes/Total Enterprise Value)
  91. Efficient Market Hypothesis(EMH)
    1. arbitrage and
    2. bias and
    3. career risk and
    4. establishment of
    5. momentum and
    6. real world markets and
    7. relative strength and
    8. strongest supporter of
  92. Equal-weighting portfolios
  93. Equation
    1. information discreteness
    2. long-term performance
  94. Equity markets, biggest
  95. Europe, rolling 5-year spreads
  96. Evidence-based enhancements
  97. Evidence-based investing, age of
  98. Expectation error
  99.  
  100. Facebook
  101. Fama, Eugene
  102. Fama-MacBeth
  103. 52-week high
  104. Financial Analyst Journal
  105. Financial crisis of
    1. absolute momentum and
    2. absolute momentum portfolio and
    3. momentum and
    4. post-2008 and
    5. quantitative momentum and
    6. trough of
    7. “winner stocks” and
  106. Fisher, Gregg
  107. Fountain of Gold—The Three Monkey Record of Money, The
  108. Four-factor alpha
  109. Four-factor model
  110. Frazzini, Andrea
  111. French, Ken
  112. Frictional costs
  113. Frog-in-the-pan (FIP)
    1. algorithm
    2. hypothesis
    3. portfolio alphas
    4. results to long/short momentum portfolios
  114. Fundamental analysis, emergence of
  115. Fundamental investors
  116. Fundamental momentumreturns
  117. Fundamental risk
  118. Fundamentals, momentum and
  119.  
  120. Gay, Gerald
  121. Gecay, Chris
  122. Generic momentum
    1. 12-month momentum and
    2. calculation of
    3. defined
    4. quantitative momentum and
  123. Generic momentum effect, drivers of
  124. George, Thomas J.
  125. Global rolling 5-year spreads
  126. Google
  127. Graham, Benjamin
  128. Great Depression drawdown
  129. Greenblat, Joel
  130. Griffin, Dale
  131. Grinblatt, Mark
  132. Growth
    1. value and, (see also Combo portfolio)
    2. value of
  133. “Growth” funds, momentum compared to
  134. Growth investing
    1. characterized
    2. vs. momentum investing
    3. momentum investing compared to
    4. monkeys throwing darts and
    5. rationale for
    6. sustainable performance and
  135. Gulen, Huseyin
  136. Gurun, Umit
  137.  
  138. Hales, Jeffrey
  139. Han, Yufeng
  140. He, Jia
  141. Heebner, Ken
  142. High beta stocks
  143. High-conviction value
  144. High momentum portfolios, stop-loss rule and
  145. High-momentum stocks
  146. Holding period
  147. Homma, Munehisa
  148. Hong, Harrison
  149. Hu, Gang
  150. Hwang, Chuan-Yang
  151.  
  152. Implementation costs
  153. Index fund, plain-vanilla
  154. Indexing, closet
  155. Industry momentum
  156. Information
    1. continuous
    2. discrete
  157. Information discreteness (ID)
  158. Intelligent Investor, The
  159. Intermediate-term momentum,–
  160. International Rectifier Corp.
  161. Internet Bubble
    1. “diworsification” and
    2. growth investing and
    3. mispricing and
    4. overpriced growth stocks and
    5. path dependency and
    6. quantitative value and
    7. underperformance and
    8. window dressing and
    9. “winner stocks” and
  162. Intrinsic value
  163. Investment formulas
  164. Investment strategies, long-term
  165. Investors, sustainable
  166. IQ/intelligence
  167. Israel, Ronen
  168.  
  169. Jacobsen, Ben
  170. “January” effect
  171. Japan
    1. combination portfolio and
    2. long/short price momentumin
    3. momentum strategy and
  172. Japanese economy, Dojima Rice Market
  173. Japanese equity market performance
  174. Jegadeesh, Narasimhan
  175. Jones, Paul Tudor
  176. Journal of Finance
  177. Journal of Financial Economics
  178. Journal of Political Economy
  179. Journal of Portfolio Management, The
  180.  
  181. Kacperczyk, Marcin
  182. Kahneman, Daniel
  183. Keim, Donald
  184. Keloharju, Matti
  185. Kemmerer, Edwin
  186. Keynes, John Maynard
  187. Kinney, William R., Jr.
  188. Klarman, Seth
  189. Kleidon, Allan
  190. Korajczyk, Robert
  191.  
  192. Lakonishok, Josef
  193. Lefevre, Edwin
  194. Lehman, Bruce
  195. Lesmond, David A.
  196. Levy, Robert
  197. Lim, Terence
  198. “Limited attention”
  199. Ling, Leng
  200. Linnainmaa, Juhani
  201. Livermore, Jesse
  202. Lo, Andrew
  203. Long/short momentum portfolio factor loadings
  204. Long-term active management success
    1. bad players, identification of
    2. best players, actions of
    3. keys to
    4. theory to practice
  205. Long-term investor, six-year investing pain train
  206. Long-term market opportunities, short-term performance
  207. Long-term momentum
  208. Long-term performance equation
  209. “Look-back” period
  210. Look-backs, intermediate-term
  211. Look-back windows
  212. Lottery bias
  213. “Lottery-like” stocks
    1. path dependency and
    2. performance of
    3. results, MAX ranking and
  214. Low beat stocks
  215.  
  216. Malkiel, Burt,–8, 43–
  217. Margin of Safety
  218. Market cycle
    1. definitions
    2. performance, quantitative momentum and
  219. Market exposure
  220. Market frictions
  221. Market liquidity
  222. Market mispricing
    1. behavioral finance and
    2. costs and
    3. Efficient Market Hypothesis
    4. enhancing
    5. long time frames and
    6. opportunities
    7. quantitative momentum and
  223. Market-timing, trading rules
  224. Markowitz, Harry
  225. Marsh, Terry
  226. MBA “rebels”
  227. McLean, David
  228. McNichols, Maureen
  229. Mean-variance (MV) frontier
  230. Mispricing. See Market mispricing
  231. Modern portfolio theory
    1. chart
    2. with momentum
  232. Momentum
    1. absolute (see Absolute momentum)
    2. adoption of term
    3. behavioral finance theorists on
    4. best players and
    5. concepts, alternative (see Alternative momentum concepts)
    6. cross-sectional
    7. defined
    8. expanding horizons with
    9. generic (see Generic momentum)
    10. growth compared to
    11. industry
    12. intermediate-term
    13. investing (see Momentum investing)
    14. long-term
    15. as “myth”
    16. as performance king
    17. performance of
    18. as “premier anomaly”
    19. revitalization of
    20. short-term
    21. time series
    22. trading frequency and
    23. types of
    24. underperformance and
    25. underreaction issue and
    26. value and, as system
    27. value and, correlation of
    28. value compared to
    29. value married to
    30. value plus
    31. why it works
  233. Momentum anomaly
  234. Momentum effect, persistenceof
  235. Momentum factor (MOM)
  236. Momentum investing
    1. characterized
    2. vs. growth investing
    3. growth investing comparedto
    4. monkeys throwing darts and
    5. pessimism and
    6. why it works
  237. “Momentum-like effect”
  238. Momentum performance
  239. Momentum portfolio construction. See Portfolio construction
  240. Momentum portfolio returns
    1. intermediate-term
    2. long-term
    3. short-term
  241. Momentum portfolio(s)
    1. annual results, quality of
    2. returns, quality of
  242. Momentum premium
  243. Momentum profits
  244. Momentum seasonality
    1. from
    2. benefits
    3. results
  245. Momentum spread
  246. Momentum stocks
    1. outperformance and
    2. path dependency and
    3. time-series characteristics of
  247. Momentum stop-loss performance
  248. Momentum strategies
    1. building, basics
    2. categories
    3. commonly examined
    4. excess expected returns
    5. intermediate-term horizon
    6. path dependency and
    7. seasonality and
  249. Monkeys throwing darts
  250. Moskowitz, Toby
  251. MSCI Japan Total Return Index
  252.  
  253. Nagel, Stefan
  254. NASDAQ
  255. NASDAQ crash
  256. Newton, Sir Isaac
  257. New York Stock Exchange (NYSE)
  258. Ng, Lilian
  259. Noise trader risk
  260. Noise traders
  261. Non-overlapping seasonal momentum portfolio
  262. Novy-Marx, Robert
  263. Nyberg, Peter
  264.  
  265. Opportunity in market, identifying
  266. Optimal portfolio weights
  267. Overlapping portfolio effect
  268. Overlapping portfolios
  269. Overreaction triggers for
  270.  
  271. Pan, Xin
  272. Paradigm, style box
  273. Passive benchmark
  274. Path
    1. momentum profits and
  275. Path dependency
    1. Internet Bubble and
    2. momentum stocks and
  276. Path-focused momentum algorithms
  277. Pederson, Lasse
  278. Performance
    1. poor relative, quantitative momentum and
    2. sustainable (see Sustainable performance)
    3. value investing and
  279. Performance statistics
  280. Petkova, Relitsa
  281. Plain-vanilla index fund
  282. Poker comparison
    1. arbitrage and
    2. best players and
    3. opportunity, identifying
    4. sustainable performance and
    5. worst players and
  283. Pontiff, Jeff
  284. Portfolio construction
    1. quantitative momentum and
    2. trend emergence
    3. value weighting and
  285. Positive news, underreactionto
  286. Poterba, James
  287. Price, Richard
  288. Price momentum
  289. Price momentum factor
  290. Profitability, momentum and
  291. Profits
    1. momentum
    2. momentum, path to
  292. Psychology, investor
  293. Put options
  294.  
  295. “Quality” momentum
  296. Quantitative momentum
    1. alpha analysis
    2. analysis
    3. asset pricing coefficient estimates for
    4. beating the market with
    5. black box and
    6. career risk and
    7. cumulative value for
    8. FIP algorithm and
    9. generic momentum and
    10. parameters of universe and
    11. poor relative performance and
    12. portfolio construction
    13. portfolio holdings
    14. process, steps in
    15. quantitative value and
    16. rewards analysis
    17. risk analysis
    18. robustness analysis
    19. rolling drawdown analysis
    20. short-term stress event testsfor
    21. summary statistics
    22. transaction costs and
  297. Quantitative value
  298. Quantitative Value
  299. Quantitative value algorithm
  300. “Quants”
  301.  
  302. R2K
  303. Random Walk Down Wall Street, A
  304. Rebalancing
    1. “all in” costs
    2. frequency of
    3. frictional costs and
    4. portfolios and
    5. smart
    6. window dressing and
  305. Reinganum, Marc
  306. Reinvestment of distributions
  307. “Relative pain”
  308. “Relative performance risk”
  309. Relative strength
    1. absolute strength improving
    2. defined
    3. momentum rule
  310. Relative strength strategy
  311. Reminiscences of a StockOperator
  312. Return gap measure
  313. Returns, core-satellite
  314. Reversal in returns
  315. Review of Financial Studies
  316. Risk
    1. career (see Career risk)
    2. fundamental
    3. noise trader
    4. “relative performance risk”
  317. Risk arbitrage
  318. Risk-factors. hidden systemic
  319. Ritter, Jay
  320. Robertson, Julian
  321. Roll, Richard
  322. Rolling 5-year spreads
    1. Europe
    2. global
    3. Japan
    4. United Kingdom (UK)
    5. United States (US)
  323. Rolling drawdown analysis
  324. Rozeff, Michael S.
  325. Russell 200 total return index.See R2K
  326.  
  327. S&P
    1. poor relative performance
    2. quantitative momentum and
  328. S&P 500 Index
  329. S&P 500 Sharpe ratio
  330. S&P 500 total return index (S&P 500 TR Index)
  331. Sadka, Ronnie
  332. Samonov, Mikhail
  333. Schill, Michael J.
  334. Scientific method, key aspect of
  335. Seasonal effects, minimizationof
  336. Seasonality
    1. building momentum systems
    2. great theories and
    3. momentum (see Momentum seasonality)
    4. momentum portfolio annual results and
    5. tax-motivated trading
    6. window dressing
  337. Security Analysis
  338. Shah, Ronnie
  339. Sharpe ratio
  340. Shefrin, Hersh
  341. Shipping costs, “frictional”
  342. Shleifer, Andrei
  343. “Short rebate”
  344. Short selling, implementation costs and
  345. Short-term momentum
  346. Short-term performance, long-term market opportunities and
  347. Short-term reversal
  348. Sialm, Clemens
  349. Sias, Richard
  350. Singal, Vijay
  351. Small-cap effect
  352. “Smart beta” funds
  353. “Smart money”
  354. Smart rebalancing
  355. So, Eric
  356. Soloman, David
  357. Soltes, Eugene
  358. Soros, George
  359. Sortino ratio
  360. Sosyura, Denis
  361. South Sea Company
  362. SP
  363. Speculators
  364. Standardized unexpected earnings (SUE)
  365. Starks, Laura
  366. Statistics, performance
  367. Statman, Meir
  368. Stein, Jeremy
  369. Stein, Jeremy C.
  370. Stock picking training
  371. Stop-loss rule
  372. Stop-loss strategy
    1. equal-weighted stop-loss momentum monthly returns
    2. momentum performance
    3. portfolios for
    4. time-series momentum performance
  373. Style box paradigm
  374. Summers, Larry
  375. Survivability
  376. Sustainable active investing framework
    1. growth investing and
    2. momentum and
    3. overarching framework and
    4. six-year investing pain train
    5. value and
    6. value investing and
  377. Sustainable alpha
  378. Sustainable investors
  379. Sustainable performance
    1. building blocks
    2. growth investing and
    3. long-term equation and
    4. poker comparison and
  380.  
  381. Tail-risk correlations
  382. “Tax hypothesis”
  383. Tax-induced seasonality
  384. Tax-loss selling
  385. Tax-motivated trading
    1. smart rebalance portfolio
    2. theories and
  386. Technical analysis, history of
  387. Thaler, Richard
  388. Thinking, Fast and Slow
  389. Three-factor model
  390. Time-series momentum
    1. about
    2. example using
  391. Titman, Sheridan
  392. Tracking error
    1. long time frames and
    2. short-term
    3. trend following and
  393. Trading frequency, momentum
  394. Transaction costs
    1. quantitative momentum
    2. rebalancing and
    3. trading frequency and
  395. Trend, combo plus
  396. Trend-following
    1. “relative performance risk”of
    2. rule
  397. Trend overlay
  398. Tudor Jones, Paul
  399. “Turn of the year” effect
  400. Turnover
  401. Tversky, Amos
  402.  
  403. Underperformance
    1. momentum and
    2. stretches of
    3. value investing and
  404. Underreaction
    1. positive news and
    2. triggers for
  405. United Kingdom (UK), rolling 5-year spreads
  406. United States (US), rolling 5-year spreads
  407. Universe selection parameters
  408.  
  409. Value
    1. equity markets and
    2. growth and, (see also Combo portfolio)
    3. high-conviction
    4. intrinsic
    5. momentum and, as system
    6. momentum and, correlationof
    7. momentum compared to
    8. momentum married to
    9. overreaction problem and
    10. performance of
    11. plus momentum
    12. quantitative
  410. Value and momentum portfolio annual returns
  411. Value anomaly
  412. Value debate
  413. Value effect, study of
  414. Value factor (HML)
  415. Value investing
    1. as intuitive
    2. pessimism and
    3. six-year investing pain train
    4. sustainable performance and
    5. underperformance and
    6. upward price moves and
  416. “Value” investors
  417. Value premium
  418. Value trap
  419. Value weighting
  420. Vishny, Robert
  421. Vogel, Jack
  422. Volatility
    1. growth vs. momentum monkeys
    2. momentum and
    3. stretches of
    4. value, growth and
    5. value and growth combo
  423. VW quantitative momentum performance
  424.  
  425. Wachtel, Sidney B.
  426. Waldmann, Robert
  427. Wall Street Journal (WSJ)
  428. Wang, Qinghai
  429. Warachka, Mitch
  430. Website
    1. companion
    2. ValueInvestorsClub.com
  431. Weisbbennar, Scott
  432. Whitelaw, Robert F.
  433. Window dressing
    1. about
    2. smart rebalance portfolio
    3. theories and
  434. Winners minus losers (WMI)
  435. Wurgler, Jeffrey
  436.  
  437. Zhang, Cherry
  438. Zheng, Lu
  439. Zhou, Chunsheng
  440. Zhou, Guofu
  441. Zhu, Yingzi
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