-
- Absolute momentum
- breakpoints
- calculation of
- cutoff points
- financial crisis and
- firms, number of
- long-only portfolio returns
- long/short returns
- portfolio performance
- rule
- validity of
- Absolute strength
- Agarwal, Vikas
- Alliance Pharmaceutical Corp.
- Alpha
- relative risk premium
- sustainable
- Alpha analysis, quantitative momentum and
- Alternative momentum concepts
- 52-week high
- absolute strength improving relative strength
- fundamentals and
- volatility of momentum
- American Finance Association
- American Stock Exchange (AMEX)
- Apple
- AQR Capital Management
- Arbitrage
- defined
- investment strategy example
- limits to
- quantitative momentum and
- Asness, Cliff
- Asset class historical results
- Asset-class selection, trading rules and
- Australian equity markets
-
- Baker, Malcom
- Bali, Turan G.
- Barberis, Nicholas
- Barron's
- Baupost Group hedge fund
- Beaver, William
- Behavioral bias
- identification of
- indirect exploitation of
- mispricing due to
- pillars of
- value, momentum and
- Behavioral errors
- Behavioral finance
- essence of
- investor psychology
- market mispricing and
- momentum and
- pillars of
- poker comparison (see Poker comparison)
- Behavioral psychology
- Behavioral theories, challenging
- Benchmark, passive
- Benchmark drift
- Benchmark portfolio
- Beta
- defined
- “lottery-like” stocks and
- Beta anomaly
- Bias, EMH and
- Black, Fischer
- Black box
- Blended strategy
- Bloomfield, Robert
- B/M (book to market) ratios
- Brown, Philip
- Brunnermeier, Markus
- Buffett, Warren
-
- CAGR (Compound AnnualGrowth Rate)
- 52-week high screen and
- across different decades
- equal-weighting scheme and
- growth vs. momentummonkeys
- intermediate-term returns and
- quantitative momentum and
- rebalancing and
- rolling five-year
- value-weighted portfolios and
- Cakici, Nusret
- Capital Asset Pricing Model (CAPM)
- Career risk
- market frictions and
- momentum and
- quantitative momentum and
- Carhart, Mark
- CGM Focus Fund
- CGR
- Chan, Louis
- Chen, Honghui
- Closet indexing structures
- Combo portfolio
- annual returns for
- plus trend
- rolling 5-year spreads
- volatility and
- Compound Annual Growth Rate. See CAGR (Compound Annual Growth Rate)
- Compustat
- Confusion De Confusions
- “Continuation” effect
- Continuous information
- Cooperman, Leon
- Core-satellite approach
- Costs
- “all in”
- assumptions/estimates
- frictional
- implementation
- mispricing opportunities and
- transaction (see Transaction costs)
- Cross-sectional momentum
- about
- example using
- CRSP (Center for Researchin Security Prices)
- Cumulative three-day abnormal returns (CAR3)
- Cutoff analysis
-
- Da, Zhi
- Daniel, Kent
- Data mining
- DeBondt, Werner
- de la Vega, Joseph
- De Long, Brad
- Discrete information
- Disposition effect
- Distributions, reinvestment of
- Diversification
- equal-weighting scheme and
- stock selection strategies and
- Diversifier, identification of
- Dividends
- “Diworsification”
- avoidance of
- Internet bubble and
- minimization of
- Dojima Rice Market
- Downside-protected strategies
- Drawdown(s)
- Great Depression
- growth vs. momentummonkeys
- maximum
- rolling analysis of
- top 10 analysis
- Drawdown analysis, summary
- Druckenmiller, Stanley
- Dutch East India Company
-
- Earnings momentum
- EBIT/TEV (Earnings before Interest and Taxes/Total Enterprise Value)
- Efficient Market Hypothesis(EMH)
- arbitrage and
- bias and
- career risk and
- establishment of
- momentum and
- real world markets and
- relative strength and
- strongest supporter of
- Equal-weighting portfolios
- Equation
- information discreteness
- long-term performance
- Equity markets, biggest
- Europe, rolling 5-year spreads
- Evidence-based enhancements
- Evidence-based investing, age of
- Expectation error
-
- Facebook
- Fama, Eugene
- Fama-MacBeth
- 52-week high
- Financial Analyst Journal
- Financial crisis of
- absolute momentum and
- absolute momentum portfolio and
- momentum and
- post-2008 and
- quantitative momentum and
- trough of
- “winner stocks” and
- Fisher, Gregg
- Fountain of Gold—The Three Monkey Record of Money, The
- Four-factor alpha
- Four-factor model
- Frazzini, Andrea
- French, Ken
- Frictional costs
- Frog-in-the-pan (FIP)
- algorithm
- hypothesis
- portfolio alphas
- results to long/short momentum portfolios
- Fundamental analysis, emergence of
- Fundamental investors
- Fundamental momentumreturns
- Fundamental risk
- Fundamentals, momentum and
-
- Gay, Gerald
- Gecay, Chris
- Generic momentum
- 12-month momentum and
- calculation of
- defined
- quantitative momentum and
- Generic momentum effect, drivers of
- George, Thomas J.
- Global rolling 5-year spreads
- Google
- Graham, Benjamin
- Great Depression drawdown
- Greenblat, Joel
- Griffin, Dale
- Grinblatt, Mark
- Growth
- value and, (see also Combo portfolio)
- value of
- “Growth” funds, momentum compared to
- Growth investing
- characterized
- vs. momentum investing
- momentum investing compared to
- monkeys throwing darts and
- rationale for
- sustainable performance and
- Gulen, Huseyin
- Gurun, Umit
-
- Hales, Jeffrey
- Han, Yufeng
- He, Jia
- Heebner, Ken
- High beta stocks
- High-conviction value
- High momentum portfolios, stop-loss rule and
- High-momentum stocks
- Holding period
- Homma, Munehisa
- Hong, Harrison
- Hu, Gang
- Hwang, Chuan-Yang
-
- Implementation costs
- Index fund, plain-vanilla
- Indexing, closet
- Industry momentum
- Information
- continuous
- discrete
- Information discreteness (ID)
- Intelligent Investor, The
- Intermediate-term momentum,–
- International Rectifier Corp.
- Internet Bubble
- “diworsification” and
- growth investing and
- mispricing and
- overpriced growth stocks and
- path dependency and
- quantitative value and
- underperformance and
- window dressing and
- “winner stocks” and
- Intrinsic value
- Investment formulas
- Investment strategies, long-term
- Investors, sustainable
- IQ/intelligence
- Israel, Ronen
-
- Jacobsen, Ben
- “January” effect
- Japan
- combination portfolio and
- long/short price momentumin
- momentum strategy and
- Japanese economy, Dojima Rice Market
- Japanese equity market performance
- Jegadeesh, Narasimhan
- Jones, Paul Tudor
- Journal of Finance
- Journal of Financial Economics
- Journal of Political Economy
- Journal of Portfolio Management, The
-
- Kacperczyk, Marcin
- Kahneman, Daniel
- Keim, Donald
- Keloharju, Matti
- Kemmerer, Edwin
- Keynes, John Maynard
- Kinney, William R., Jr.
- Klarman, Seth
- Kleidon, Allan
- Korajczyk, Robert
-
- Lakonishok, Josef
- Lefevre, Edwin
- Lehman, Bruce
- Lesmond, David A.
- Levy, Robert
- Lim, Terence
- “Limited attention”
- Ling, Leng
- Linnainmaa, Juhani
- Livermore, Jesse
- Lo, Andrew
- Long/short momentum portfolio factor loadings
- Long-term active management success
- bad players, identification of
- best players, actions of
- keys to
- theory to practice
- Long-term investor, six-year investing pain train
- Long-term market opportunities, short-term performance
- Long-term momentum
- Long-term performance equation
- “Look-back” period
- Look-backs, intermediate-term
- Look-back windows
- Lottery bias
- “Lottery-like” stocks
- path dependency and
- performance of
- results, MAX ranking and
- Low beat stocks
-
- Malkiel, Burt,–8, 43–
- Margin of Safety
- Market cycle
- definitions
- performance, quantitative momentum and
- Market exposure
- Market frictions
- Market liquidity
- Market mispricing
- behavioral finance and
- costs and
- Efficient Market Hypothesis
- enhancing
- long time frames and
- opportunities
- quantitative momentum and
- Market-timing, trading rules
- Markowitz, Harry
- Marsh, Terry
- MBA “rebels”
- McLean, David
- McNichols, Maureen
- Mean-variance (MV) frontier
- Mispricing. See Market mispricing
- Modern portfolio theory
- chart
- with momentum
- Momentum
- absolute (see Absolute momentum)
- adoption of term
- behavioral finance theorists on
- best players and
- concepts, alternative (see Alternative momentum concepts)
- cross-sectional
- defined
- expanding horizons with
- generic (see Generic momentum)
- growth compared to
- industry
- intermediate-term
- investing (see Momentum investing)
- long-term
- as “myth”
- as performance king
- performance of
- as “premier anomaly”
- revitalization of
- short-term
- time series
- trading frequency and
- types of
- underperformance and
- underreaction issue and
- value and, as system
- value and, correlation of
- value compared to
- value married to
- value plus
- why it works
- Momentum anomaly
- Momentum effect, persistenceof
- Momentum factor (MOM)
- Momentum investing
- characterized
- vs. growth investing
- growth investing comparedto
- monkeys throwing darts and
- pessimism and
- why it works
- “Momentum-like effect”
- Momentum performance
- Momentum portfolio construction. See Portfolio construction
- Momentum portfolio returns
- intermediate-term
- long-term
- short-term
- Momentum portfolio(s)
- annual results, quality of
- returns, quality of
- Momentum premium
- Momentum profits
- Momentum seasonality
- from
- benefits
- results
- Momentum spread
- Momentum stocks
- outperformance and
- path dependency and
- time-series characteristics of
- Momentum stop-loss performance
- Momentum strategies
- building, basics
- categories
- commonly examined
- excess expected returns
- intermediate-term horizon
- path dependency and
- seasonality and
- Monkeys throwing darts
- Moskowitz, Toby
- MSCI Japan Total Return Index
-
- Nagel, Stefan
- NASDAQ
- NASDAQ crash
- Newton, Sir Isaac
- New York Stock Exchange (NYSE)
- Ng, Lilian
- Noise trader risk
- Noise traders
- Non-overlapping seasonal momentum portfolio
- Novy-Marx, Robert
- Nyberg, Peter
-
- Opportunity in market, identifying
- Optimal portfolio weights
- Overlapping portfolio effect
- Overlapping portfolios
- Overreaction triggers for
-
- Pan, Xin
- Paradigm, style box
- Passive benchmark
- Path
- momentum profits and
- Path dependency
- Internet Bubble and
- momentum stocks and
- Path-focused momentum algorithms
- Pederson, Lasse
- Performance
- poor relative, quantitative momentum and
- sustainable (see Sustainable performance)
- value investing and
- Performance statistics
- Petkova, Relitsa
- Plain-vanilla index fund
- Poker comparison
- arbitrage and
- best players and
- opportunity, identifying
- sustainable performance and
- worst players and
- Pontiff, Jeff
- Portfolio construction
- quantitative momentum and
- trend emergence
- value weighting and
- Positive news, underreactionto
- Poterba, James
- Price, Richard
- Price momentum
- Price momentum factor
- Profitability, momentum and
- Profits
- momentum
- momentum, path to
- Psychology, investor
- Put options
-
- “Quality” momentum
- Quantitative momentum
- alpha analysis
- analysis
- asset pricing coefficient estimates for
- beating the market with
- black box and
- career risk and
- cumulative value for
- FIP algorithm and
- generic momentum and
- parameters of universe and
- poor relative performance and
- portfolio construction
- portfolio holdings
- process, steps in
- quantitative value and
- rewards analysis
- risk analysis
- robustness analysis
- rolling drawdown analysis
- short-term stress event testsfor
- summary statistics
- transaction costs and
- Quantitative value
- Quantitative Value
- Quantitative value algorithm
- “Quants”
-
- R2K
- Random Walk Down Wall Street, A
- Rebalancing
- “all in” costs
- frequency of
- frictional costs and
- portfolios and
- smart
- window dressing and
- Reinganum, Marc
- Reinvestment of distributions
- “Relative pain”
- “Relative performance risk”
- Relative strength
- absolute strength improving
- defined
- momentum rule
- Relative strength strategy
- Reminiscences of a StockOperator
- Return gap measure
- Returns, core-satellite
- Reversal in returns
- Review of Financial Studies
- Risk
- career (see Career risk)
- fundamental
- noise trader
- “relative performance risk”
- Risk arbitrage
- Risk-factors. hidden systemic
- Ritter, Jay
- Robertson, Julian
- Roll, Richard
- Rolling 5-year spreads
- Europe
- global
- Japan
- United Kingdom (UK)
- United States (US)
- Rolling drawdown analysis
- Rozeff, Michael S.
- Russell 200 total return index.See R2K
-
- S&P
- poor relative performance
- quantitative momentum and
- S&P 500 Index
- S&P 500 Sharpe ratio
- S&P 500 total return index (S&P 500 TR Index)
- Sadka, Ronnie
- Samonov, Mikhail
- Schill, Michael J.
- Scientific method, key aspect of
- Seasonal effects, minimizationof
- Seasonality
- building momentum systems
- great theories and
- momentum (see Momentum seasonality)
- momentum portfolio annual results and
- tax-motivated trading
- window dressing
- Security Analysis
- Shah, Ronnie
- Sharpe ratio
- Shefrin, Hersh
- Shipping costs, “frictional”
- Shleifer, Andrei
- “Short rebate”
- Short selling, implementation costs and
- Short-term momentum
- Short-term performance, long-term market opportunities and
- Short-term reversal
- Sialm, Clemens
- Sias, Richard
- Singal, Vijay
- Small-cap effect
- “Smart beta” funds
- “Smart money”
- Smart rebalancing
- So, Eric
- Soloman, David
- Soltes, Eugene
- Soros, George
- Sortino ratio
- Sosyura, Denis
- South Sea Company
- SP
- Speculators
- Standardized unexpected earnings (SUE)
- Starks, Laura
- Statistics, performance
- Statman, Meir
- Stein, Jeremy
- Stein, Jeremy C.
- Stock picking training
- Stop-loss rule
- Stop-loss strategy
- equal-weighted stop-loss momentum monthly returns
- momentum performance
- portfolios for
- time-series momentum performance
- Style box paradigm
- Summers, Larry
- Survivability
- Sustainable active investing framework
- growth investing and
- momentum and
- overarching framework and
- six-year investing pain train
- value and
- value investing and
- Sustainable alpha
- Sustainable investors
- Sustainable performance
- building blocks
- growth investing and
- long-term equation and
- poker comparison and
-
- Tail-risk correlations
- “Tax hypothesis”
- Tax-induced seasonality
- Tax-loss selling
- Tax-motivated trading
- smart rebalance portfolio
- theories and
- Technical analysis, history of
- Thaler, Richard
- Thinking, Fast and Slow
- Three-factor model
- Time-series momentum
- about
- example using
- Titman, Sheridan
- Tracking error
- long time frames and
- short-term
- trend following and
- Trading frequency, momentum
- Transaction costs
- quantitative momentum
- rebalancing and
- trading frequency and
- Trend, combo plus
- Trend-following
- “relative performance risk”of
- rule
- Trend overlay
- Tudor Jones, Paul
- “Turn of the year” effect
- Turnover
- Tversky, Amos
-
- Underperformance
- momentum and
- stretches of
- value investing and
- Underreaction
- positive news and
- triggers for
- United Kingdom (UK), rolling 5-year spreads
- United States (US), rolling 5-year spreads
- Universe selection parameters
-
- Value
- equity markets and
- growth and, (see also Combo portfolio)
- high-conviction
- intrinsic
- momentum and, as system
- momentum and, correlationof
- momentum compared to
- momentum married to
- overreaction problem and
- performance of
- plus momentum
- quantitative
- Value and momentum portfolio annual returns
- Value anomaly
- Value debate
- Value effect, study of
- Value factor (HML)
- Value investing
- as intuitive
- pessimism and
- six-year investing pain train
- sustainable performance and
- underperformance and
- upward price moves and
- “Value” investors
- Value premium
- Value trap
- Value weighting
- Vishny, Robert
- Vogel, Jack
- Volatility
- growth vs. momentum monkeys
- momentum and
- stretches of
- value, growth and
- value and growth combo
- VW quantitative momentum performance
-
- Wachtel, Sidney B.
- Waldmann, Robert
- Wall Street Journal (WSJ)
- Wang, Qinghai
- Warachka, Mitch
- Website
- companion
- ValueInvestorsClub.com
- Weisbbennar, Scott
- Whitelaw, Robert F.
- Window dressing
- about
- smart rebalance portfolio
- theories and
- Winners minus losers (WMI)
- Wurgler, Jeffrey
-
- Zhang, Cherry
- Zheng, Lu
- Zhou, Chunsheng
- Zhou, Guofu
- Zhu, Yingzi
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