This is a summary of links featured on Quantocracy on Monday, 05/31/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Explanatory Power of Factor Momentum [Alpha Architect]Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. 1 In 1997, Mark Carhart, in his study On Persistence in Mutual Fund Performance, was the first to use a momentum factor, together with the three FamaFrench factors (market beta, size, and value), to explain mutual
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Factor momentum: a brief introduction [SR SV]Standard equity factors are autocorrelated. Hence, it is not surprising that factor strategies have also displayed momentum: past returns have historically predicted future returns. Indeed, factor momentum seems to explain all return momentum in individual stocks and across industries. Momentum has been concentrated on a subset of factors, most notably those related to betting against beta,